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 2nd Edition
SIMULATING
COPULAS
Stochastic Models,
Sampling Algorithms, and Applications

10265hc_9789813149243_tp.indd 1 16/5/17 2:45 PM

 Series in Quantitative Finance ISSN: 1756-1604

Series Editor: Ralf Korn (University of Kaiserslautern, Germany)

Editorial Members: Tang Shanjian (Fudan University, China)

Kwok Yue Kuen (Hong Kong University of Science
and Technology, China)

Published
Vol. 1 An Introduction to Computational Finance
by Ömür Uğur

Vol. 2 Advanced Asset Pricing Theory

by Chenghu Ma

Vol. 3 Option Pricing in Incomplete Markets:

Modeling Based on Geometric Lévy Processes and
Minimal Entropy Martingale Measures
by Yoshio Miyahara

Vol. 4 Simulating Copulas:

Stochastic Models, Sampling Algorithms, and Applications
by Jan-Frederik Mai and Matthias Scherer

Vol. 5 Extreme Financial Risks and Asset Allocation

by Olivier Le Courtois and Christian Walter

Vol. 6 Simulating Copulas:

Stochastic Models, Sampling Algorithms and Applications
(Second Edition)
by Jan-Frederik Mai and Matthias Scherer

Alisha - 10265 - Simulating Copulas.indd 1 16-05-17 3:18:47 PM

 Series in Quantitative Finance – Vol. 6

2nd Edition
SIMULATING
COPULAS
Stochastic Models,
Sampling Algorithms, and Applications

Jan-Frederik Mai
XAIA Investment AG, Germany

Matthias Scherer
Technische Universität München, Germany

with contributions by

Claudia Czado • Elke Korn • Ralf Korn • Jakob Stöber

World Scientific
NEW JERSEY • LONDON • SINGAPORE • BEIJING • SHANGHAI • HONG KONG • TAIPEI • CHENNAI • TOKYO

10265hc_9789813149243_tp.indd 2 16/5/17 2:45 PM

 Published by
World Scientific Publishing Co. Pte. Ltd.
5 Toh Tuck Link, Singapore 596224
USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601
UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE

British Library Cataloguing-in-Publication Data

A catalogue record for this book is available from the British Library.

Series in Quantitative Finance — Vol. 6

SIMULATING COPULAS
Stochastic Models, Sampling Algorithms and Applications
Second Edition
Copyright © 2017 by World Scientific Publishing Co. Pte. Ltd.
All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means,
electronic or mechanical, including photocopying, recording or any information storage and retrieval
system now known or to be invented, without written permission from the publisher.

For photocopying of material in this volume, please pay a copying fee through the Copyright Clearance
Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy
is not required from the publisher.

ISBN 978-981-3149-24-3

Desk Editor: Alisha Nguyen

Typeset by Stallion Press

Email: [email protected]

Printed in Singapore

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May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page v

To the new generation:

Viola, Lara, Fabian, and Paul.

v
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May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page vii

Preface

The joint treatment of d ≥ 2 random variables requires vector-valued

stochastic models. In the financial industry, multivariate models are ap-
plied to, e.g., asset allocation problems (portfolio optimization), the pricing
of basket options, risk management, and the modeling of credit portfolios.
In particular, the development during the past years highlighted that the
financial industry is in urgent need of realistic and viable models in large
dimensions. Other fields of application for multivariate stochastic mod-
els include geostatistics, hydrology, insurance mathematics, medicine, and
reliability theory.
Besides specifying the univariate marginals, for multivariate distribu-
tions it is additionally required to appropriately define the dependence
structure among the modeled objects. In most applications, a portfolio per-
spective is significantly more demanding compared to modeling univariate
marginals. One consequence is that analytical solutions for the aforemen-
tioned applications can typically be derived under restrictive assumptions
only. An increasingly popular alternative to accepting unrealistic simplifi-
cations is to solve the model in question by Monte Carlo simulation. This
allows for very general models but requires efficient simulation schemes for
multivariate distributions. This book aims at providing a toolbox for the
simulation of random vectors with a considerable spectrum of dependence
structures.

vii
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page viii

viii Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

Why Sampling Copulas?

This book focuses on sampling copulas, i.e. distribution functions on [0, 1]d
with uniform univariate marginals. At first glance, this standardization
to univariate margins seems to be a rather artificial assumption. The
justification for considering copulas instead of more general multivariate
distribution functions is provided by Sklar’s seminal decomposition (see
Sklar (1959) and Section 1.1.2). Heuristically speaking, Sklar’s theorem
allows us to decompose any d-dimensional multivariate distribution func-
tion F into its univariate margins F1 , . . . , Fd and the dependence structure
among them. The latter is described by the copula behind the model, de-
noted C. More precisely, we have F (x1 , . . . , xd ) = C(F1 (x1 ), . . . , Fd (xd ))
for (x1 , . . . , xd ) ∈ Rd . The converse implication also holds, i.e. coupling uni-
variate margins with some copula yields a multivariate distribution. This
observation is especially convenient for the specification of a multivariate
model, since a separate treatment of the dependence structure and uni-
variate margins is usually easier compared to specifying the multivariate
distribution in one step.
Sklar’s decomposition also applies to sampling applications. Assume
that we want to simulate from a multivariate distribution function F with
univariate marginal distribution functions F1 , . . . , Fd and copula C. Given
a sampling scheme for the copula C, the following algorithm generates
a sample from the distribution F by applying the generalized inverses
F1−1 , . . . , Fd−1 (see Lemma 1.4) to the sample of the copula.
Algorithm 0.1 (Sampling Multivariate Distributions)
Let F (x1 , . . . , xd ) = C(F1 (x1 ), . . . , Fd (xd )) be a d-dimensional distribution
function. Let sample C () be a function that returns a sample from C.
Sampling F is then possible via the following scheme:
FUNCTION sample F ()
Set (U1 , . . . , Ud ) := sample C ()


RETURN F1−1 (U1 ), . . . , Fd−1 (Ud )
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page ix

Preface ix

Why Another Book on Copulas?

Our main motivation for writing this book was to summarize the fast-
growing literature on simulation algorithms for copulas. Several results on
new sampling techniques for classical copulas, e.g. the Archimedean and
Marshall–Olkin families, have lately been published. Moreover, new fam-
ilies and construction principles have been discovered; an example is the
pair-copula construction. At the same time, the financial industry has be-
come aware that copula models (beyond a Gaussian dependence structure)
are required to realistically model various aspects of quantitative finance.
This book takes account of this fact by providing a comprehensive toolbox
for financial engineering, and, of course, for other applications as well. All
algorithms are described in pseudo-code. Thus, they can easily be imple-
mented in the user’s preferred programming language. Moreover, we aim at
being comprehensive with respect to sampling schemes for univariate ran-
dom variables as well as with respect to the use of Monte Carlo sampling
engines in general. We purposely included sampling schemes for very basic
copulas, even though this might not be required for an expert in the field.
Another intention is to provide an elementary introduction to copulas from
the perspective of probabilistic representations. Hence, an experienced re-
searcher might skip some parts of the book. But someone who is new to
the field of copulas can use the book as a stand-alone textbook. The book,
however, does not treat statistical estimation of dependence models.
Especially for sampling applications, the dimension of the copula plays
a crucial role. To give an example, the original probabilistic model behind
the so-called d-dimensional Marshall–Olkin copula is based on 2d − 1 ran-
dom variables, i.e. the dimension d enters exponentially. Hence, this book
explicitly focuses on the d-dimensional case and discusses the efficiency of
the provided algorithms with respect to their dimension. Especially in the
field of portfolio credit risk modeling, there are some applications requiring
high-dimensional models with d = 125 or even more.
Copulas can be investigated from two (not necessarily disjoint) perspec-
tives: (1) analytically, i.e. viewing them as d-dimensional functions, and (2)
probabilistically, i.e. viewing them as the dependence structure behind some
random vector. Both perspectives have their distinct advantages.

(1) The analytical perspective aims at deriving statements about cop-

ulas from their functional form. This is especially successful for
analytically tractable families. In this case, it is often possible
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page x

x Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

to deduce very general dependence properties from the paramet-

ric form of the respective copula. For high-dimensional sampling
applications, however, this approach is of minor use, since the func-
tional form does not, in general, provide a convenient rule for the
construction of a sampling algorithm.
(2) Investigating copulas from a probabilistic perspective is based on
stochastic representations of the dependence structure. This means
that there is an explicit (and preferably simple) probability space,
on which the random vector associated with a copula is defined.
The immediate advantage is that such probabilistic constructions
provide a recipe for a sampling algorithm. Besides sampling, it is
also possible to investigate the copula from the respective repre-
sentation.
This book pursues a mostly probabilistic treatment. This is especially
suitable for sampling applications.

Acknowledgments

First of all, we would like to thank C. Czado, E. Korn, R. Korn, and

J. Stöber for providing the chapters on pair copulas, univariate sampling al-
gorithms, and Monte Carlo techniques. We also would like to thank several
friends and colleagues for patiently answering questions, reading previous
versions of the manuscript, and pointing us at several improvements. These
are K. Bannör, G. Bernhart, F. Durante, C. Hering, P. Hieber, M. Hofert,
H. Joe, D. Krause, A. Min, A. Reuß, D. Neykova, W. Richter, S. Schenk,
D. Selch, and N. Shenkman. Finally, we would like to thank our editor,
Tasha D’Cruz, for her extremely valuable feedback and professional han-
dling of the manuscript.
Jan-Frederik Mai and Matthias Scherer
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page xi

Preface xi

Preface to the second edition

We were very pleased when ICP/WS approached us in early 2016 with

the proposal of a second edition of this book. For several reasons, we
immediately agreed to provide a revised and extended edition. First of all,
there was the opportunity to correct some typographical errors that we
(and others) noticed in the meanwhile. Second, we negotiated a soft-cover
version that allows the reader to acquire the book at a cheaper price. We
hope the book enjoys an even wider dissemination consequently. Third, and
most important, we felt we made significant progress in the main theme of
the book: the identification of conditionally independent (sub-)families of
multivariate distributions and the design of new parametric copula models.
This progress was supported by the remarkable PhD theses of German
Bernhart and Steffen Schenk.1 This strand of research particularly led to a
deeper understanding of multivariate extreme-value distributions and fatal-
shock models. We have chosen to add these results as a separate, additional
chapter. This preserves the structure of the first edition, so references to
theorems etc. are consistent across the two editions. Furthermore, we have
also monitored the fast growing literature on copulas and included new
results and references related to the simulation of copulas. We would like
to thank A. Hüttner and H. Sloot for providing valuable suggestions for
improvements.
Jan-Frederik Mai and Matthias Scherer, December 2016

1 Gentlemen, many thanks for the fruitful and pleasant collaboration!

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May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page xiii

Contents

Preface vii

1. Introduction 1
1.1 Copulas . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.1.1 Analytical Properties . . . . . . . . . . . . . . . . 7
1.1.2 Sklar’s Theorem and Survival Copulas . . . . . . 14
1.1.3 General Sampling Methodology in Low
Dimensions . . . . . . . . . . . . . . . . . . . . . . 22
1.1.4 Graphical Visualization . . . . . . . . . . . . . . . 26
1.1.5 Concordance Measures . . . . . . . . . . . . . . . 28
1.1.6 Measures of Extremal Dependence . . . . . . . . . 33
1.2 General Classifications of Copulas . . . . . . . . . . . . . 36
1.2.1 Radial Symmetry . . . . . . . . . . . . . . . . . . 36
1.2.2 Exchangeability . . . . . . . . . . . . . . . . . . . 39
1.2.3 Homogeneous Mixture Models . . . . . . . . . . . 41
1.2.4 Heterogeneous Mixture Models/Hierarchical Models 48
1.2.5 Extreme-Value Copulas . . . . . . . . . . . . . . . 52

2. Archimedean Copulas 57
2.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . 58
2.2 Extendible Archimedean Copulas . . . . . . . . . . . . . . 61
2.2.1 Kimberling’s Result and Bernstein’s Theorem . . 62
2.2.2 Properties of Extendible Archimedean Copulas . . 65
2.2.3 Constructing Multi-Parametric Families . . . . . . 69
2.2.4 Parametric Families . . . . . . . . . . . . . . . . . 69
2.3 Exchangeable Archimedean Copulas . . . . . . . . . . . . 76

xiii
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page xiv

xiv Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

2.3.1 Constructing Exchangeable Archimedean Copulas 82

2.3.2 Sampling Exchangeable Archimedean Copulas . . 85
2.3.3 Properties of Exchangeable Archimedean Copulas 87
2.4 Hierarchical (H-Extendible) Archimedean Copulas . . . . 89
2.4.1 Compatibility of Generators . . . . . . . . . . . . 90
2.4.2 Probabilistic Construction and Sampling . . . . . 91
2.4.3 Properties . . . . . . . . . . . . . . . . . . . . . . 93
2.4.4 Examples . . . . . . . . . . . . . . . . . . . . . . . 95
2.5 Other Topics Related to Archimedean Copulas . . . . . . 97
2.5.1 Simulating from the Generator . . . . . . . . . . . 97
2.5.2 Asymmetrizing Archimedean Copulas . . . . . . . 99

3. Marshall–Olkin Copulas 101

3.1 The General Marshall–Olkin Copula . . . . . . . . . . . . 102
3.1.1 Canonical Construction of the MO Distribution . 104
3.1.2 Alternative Construction of the MO Distribution 110
3.1.3 Properties of Marshall–Olkin Copulas . . . . . . . 118
3.2 The Exchangeable Case . . . . . . . . . . . . . . . . . . . 122
3.2.1 Reparameterizing Marshall–Olkin Copulas . . . . 126
3.2.2 The Inverse Pascal Triangle . . . . . . . . . . . . 129
3.2.3 Efficiently Sampling eM O . . . . . . . . . . . . . 131
3.2.4 Hierarchical Extensions . . . . . . . . . . . . . . . 138
3.3 The Extendible Case . . . . . . . . . . . . . . . . . . . . . 140
3.3.1 Precise Formulation and Proof of Theorem 3.1 . . 141
3.3.2 Proof of Theorem 3.2 . . . . . . . . . . . . . . . . 146
3.3.3 Efficient Simulation of Lévy-Frailty Copulas . . . 150
3.3.4 Hierarchical (H-Extendible) Lévy-Frailty Copulas 153

4. Elliptical Copulas 159

4.1 Spherical Distributions . . . . . . . . . . . . . . . . . . . . 161
4.2 Elliptical Distributions . . . . . . . . . . . . . . . . . . . . 166
4.3 Parametric Families of Elliptical Distributions . . . . . . . 170
4.4 Elliptical Copulas . . . . . . . . . . . . . . . . . . . . . . . 174
4.5 Parametric Families of Elliptical Copulas . . . . . . . . . 175
4.6 Sampling Algorithms . . . . . . . . . . . . . . . . . . . . . 179
4.6.1 A Generic Sampling Scheme . . . . . . . . . . . . 179
4.6.2 Sampling Important Parametric Families . . . . . 181
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page xv

Contents xv

5. Pair Copula Constructions 185

5.1 Introduction to Pair Copula Constructions . . . . . . . . . 186
5.2 Copula Construction by Regular Vine Trees . . . . . . . . 191
5.2.1 Regular Vines . . . . . . . . . . . . . . . . . . . . 191
5.2.2 Regular Vine Matrices . . . . . . . . . . . . . . . 196
5.3 Simulation from Regular Vine Distributions . . . . . . . . 203
5.3.1 h-Functions for Bivariate Copulas and Their
Rotated Versions . . . . . . . . . . . . . . . . . . 204
5.3.2 The Sampling Algorithms . . . . . . . . . . . . . . 208
5.4 Dependence Properties . . . . . . . . . . . . . . . . . . . . 218
5.5 Application . . . . . . . . . . . . . . . . . . . . . . . . . . 223
5.5.1 Time Series Model for Each Margin . . . . . . . . 224
5.5.2 Parameter Estimation . . . . . . . . . . . . . . . . 224
5.5.3 Forecasting Value at Risk . . . . . . . . . . . . . . 226
5.5.4 Backtesting Value at Risk . . . . . . . . . . . . . 227
5.5.5 Backtest Results . . . . . . . . . . . . . . . . . . . 228

6. Sampling Univariate Random Variables 231

6.1 General Aspects of Generating Random Variables . . . . . 231
6.2 Generating Uniformly Distributed Random Variables . . . 232
6.2.1 Quality Criteria for RNG . . . . . . . . . . . . . . 233
6.2.2 Common Causes of Trouble . . . . . . . . . . . . 234
6.3 The Inversion Method . . . . . . . . . . . . . . . . . . . . 234
6.4 Generating Exponentially Distributed Random Numbers . 235
6.5 Acceptance-Rejection Method . . . . . . . . . . . . . . . . 235
6.6 Generating Normally Distributed Random Numbers . . . 238
6.6.1 Calculating the Cumulative Normal . . . . . . . . 238
6.6.2 Generating Normally Distributed Random
Numbers via Inversion . . . . . . . . . . . . . . . 238
6.6.3 Generating Normal Random Numbers with Polar
Methods . . . . . . . . . . . . . . . . . . . . . . . 239
6.7 Generating Lognormal Random Numbers . . . . . . . . . 240
6.8 Generating Gamma-Distributed Random Numbers . . . . 240
6.8.1 Generating Gamma-Distributed RNs with β > 1 . 241
6.8.2 Generating Gamma-Distributed RNs with β < 1 . 242
6.8.3 Relations to Other Distributions . . . . . . . . . . 243
6.9 Generating Chi-Square-Distributed RNs . . . . . . . . . . 243
6.10 Generating t-Distributed Random Numbers . . . . . . . . 244
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page xvi

xvi Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

6.11 Generating Pareto-Distributed Random Numbers . . . . . 245

6.12 Generating Inverse Gaussian-Distributed Random
Numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . 245
6.13 Generating Stable-Distributed Random Numbers . . . . . 246
6.14 Generating Discretely Distributed Random Numbers . . . 247
6.14.1 Generating Random Numbers with Geometric
and Binomial Distribution . . . . . . . . . . . . . 248
6.14.2 Generating Poisson-Distributed Random
Numbers . . . . . . . . . . . . . . . . . . . . . . . 248

7. The Monte Carlo Method 251

7.1 First Aspects of the Monte Carlo Method . . . . . . . . . 251
7.2 Variance Reduction Methods . . . . . . . . . . . . . . . . 254
7.2.1 Antithetic Variates . . . . . . . . . . . . . . . . . 255
7.2.2 Antithetic Variates for Radially Symmetric
Copulas . . . . . . . . . . . . . . . . . . . . . . . . 257
7.2.3 Control Variates . . . . . . . . . . . . . . . . . . . 258
7.2.4 Approximation via a Simpler Dependence
Structure . . . . . . . . . . . . . . . . . . . . . . . 260
7.2.5 Importance Sampling . . . . . . . . . . . . . . . . 262
7.2.6 Importance Sampling via Increasing the
Dependence . . . . . . . . . . . . . . . . . . . . . 263
7.2.7 Further Comments on Variance Reduction
Methods . . . . . . . . . . . . . . . . . . . . . . . 265

8. Further Copula Families with Known Extendible Subclass 267

8.1 Exogenous Shock Models . . . . . . . . . . . . . . . . . . 268
8.1.1 Extendible Exogenous Shock Models . . . . . . . 271
8.2 Extreme-Value Copulas . . . . . . . . . . . . . . . . . . . 285
8.2.1 Multivariate Distributions with Exponential
Minima . . . . . . . . . . . . . . . . . . . . . . . . 293
8.2.2 Hierarchical (H-extendible) Extreme-Value
Copulas . . . . . . . . . . . . . . . . . . . . . . . . 294

Appendix A Supplemental Material 301

A.1 Validating a Sampling Algorithm . . . . . . . . . . . . . . 301
A.2 Introduction to Lévy Subordinators . . . . . . . . . . . . 302
A.2.1 Compound Poisson Subordinator . . . . . . . . . 306
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page xvii

Contents xvii

A.2.2 Gamma Subordinator . . . . . . . . . . . . . . . . 308

A.2.3 Inverse Gaussian Subordinator . . . . . . . . . . . 309
A.2.4 Stable Subordinator . . . . . . . . . . . . . . . . . 310
A.3 Scale Mixtures of Marshall–Olkin Copulas . . . . . . . . . 311
A.4 Generalizations of Lévy Subordinators . . . . . . . . . . . 315
A.4.1 Additive Subordinators . . . . . . . . . . . . . . . 315
A.4.2 IDT Subordinators . . . . . . . . . . . . . . . . . 316
A.5 Further Reading . . . . . . . . . . . . . . . . . . . . . . . 319

Bibliography 323
Index 335
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May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page 1

Chapter 1

Introduction

Before we start, let us clarify some notations.

General comment: The dimension of a random vector is typically
denoted by d ≥ 2.
Important sets: N denotes the set of natural numbers {1, 2, . . .}, and
N0 := {0} ∪ N. R denotes the set of real numbers. Moreover, for d ∈ N,
Rd denotes the set of all d-dimensional row vectors with entries in R. For
v := (v1 , . . . , vd ) ∈ Rd , we denote by v
its transpose. For some set A, we
denote by B(A) the corresponding Borel σ-algebra, which is generated by
all open subsets of A. The cardinality of a set A is denoted by |A|. Subsets
and proper subsets are denoted by A ⊂ B and A
B, respectively.
Probability spaces: A probability space is denoted by (Ω, F , P), with
σ-algebra F and probability measure P. The corresponding expectation op-
erator is denoted by E. The variance, covariance, and correlation operators
are written as Var, Cov, Corr, respectively. Random variables (or vectors)
are mostly denoted by the letter X (respectively X := (X1 , . . . , Xd )). As
an exception, we write U := (U1 , . . . , Ud ) for a d-dimensional random vec-
tor with a copula as joint distribution function.1 If two random variables
d d
X1 , X2 are equal in distribution, we write X1 = X2 . Similarly, → denotes
convergence in distribution. Elements of the space Ω, usually denoted by
ω, are almost always omitted as arguments of random variables, i.e. instead
of writing X(ω), we simply write X. Finally, the acronym i.i.d. stands for
“independent and identically distributed”.
Functions: Univariate as well as d-dimensional distribution functions
are denoted by capital letters, mostly F or G. Their corresponding survival
functions are denoted F̄ , Ḡ. As an exception, a copula is denoted by the
letter C; its arguments are denoted (u1 , . . . , ud ) ∈ [0, 1]d. The characteristic
1 The letter U indicates that U1 , . . . , Ud are uniformly distributed on the unit interval.

1
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page 2

2 Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

function of a random variable X is denoted by φX (x) := E[exp(i x X)].

The Laplace transform of a non-negative random variable X is denoted
by ϕX (x) := E[exp(−x X)]. Moreover, the nth derivative of a real-valued
function f is abbreviated as f (n) ; for the first derivative we also write f
.
The natural logarithm is denoted log.
Stochastic processes: A stochastic process X : Ω × [0, ∞) → R on
a probability space (Ω, F , P) is denoted by X = {Xt }t≥0 , i.e. we omit the
argument ω ∈ Ω. The time argument t is written as a subindex, i.e. Xt
instead of X(t). This is in order to avoid confusion with deterministic
functions f , whose arguments are written in brackets, i.e. f (x).
Important univariate distributions: Some frequently used proba-
bility distributions are introduced here. Sampling univariate random vari-
ables is discussed in Chapter 6.
(1) U[a, b] denotes the uniform distribution on [a, b] for −∞ < a < b <
∞. Its density is given by f (x) = ½{x∈[a,b]} (b − a)−1 for x ∈ R.
(2) Exp(λ) denotes the exponential distribution with parameter λ > 0,
i.e. with density f (x) = λ exp(−λ x) ½{x>0} for x ∈ R.
(3) N (µ, σ 2 ) denotes the normal distribution with mean µ ∈ R and
variance σ 2 > 0. Its density is given by
2
1 1 (x−µ)
f (x) = √ e− 2 σ2 , x ∈ R.
2πσ 2
(4) LN (µ, σ 2 ) denotes the lognormal distribution. Its density is given
by
2
1 1 (log(x)−µ)
f (x) = √ e− 2 σ2 ½{x>0} , x ∈ R.
x 2πσ 2
(5) Γ(β, η) denotes the Gamma distribution with parameters β, η > 0,
i.e. with density
η β −η x β−1
f (x) = e x ½{x>0} , x ∈ R.
Γ(β)
Note in particular that the exponential law Exp(λ) = Γ(1, λ) is a
special case of the Gamma distribution.
(6) χ2 (ν) denotes the χ2 -distribution (Chi-square) with ν ∈ N degrees
of freedom. The density satisfies
1
f (x) = ν/2 xν/2−1 e−x/2 ½{x>0} , x ∈ R.
2 Γ(ν/2)
From the density we can easily see that χ2 (ν) = Γ(ν/2, 1/2) is a
second important special case of the Gamma distribution. If Z has
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page 3

Introduction 3

a χ2 (ν)-distribution and X1 , . . . , Xν are i.i.d. standard normally

d
distributed random variables, then Z = X12 + . . . + Xν2 .
(7) IG(β, η) denotes the inverse Gaussian distribution with parameters
η, β > 0, i.e. with density
β 1 2 2
f (x) = 3 √ eη β− 2 (β /x+η x) ½{x>0} , x ∈ R.
x2 2 π
(8) S(α, h) denotes the (exponentially tilted) α-stable distribution with
0 < α < 1 and h ≥ 0, as discussed for instance in Barndorff-Nielsen
and Shephard (2001). This distribution is characterized via its
Laplace transform. If X has a S(α, h)-distribution, then
 
E e−xX = e−((x+h) −h ) , x > 0.
α α

√
We write S(α, 0) =: S(α). Note: S(1/2, h) = IG(2−1/2 , 2 h).
(9) Bin(n, p) denotes the binomial distribution with n trials and suc-
cess probability p ∈ (0, 1). The (discrete) density of X with
Bin(n, p)-distribution is
 
n k
P(X = k) = p (1 − p)n−k , k ∈ {0, . . . , n}.
k
(10) P oi(λ) denotes the Poisson distribution with mean λ > 0. The
(discrete) density of X with P oi(λ)-distribution is P(X = k) =
λk exp(−λ)/k! for k ∈ N0 .
(11) t(ν) denotes the Student’s t-distribution with ν ∈ N degrees of
freedom. The density2 is given by


Γ ν+1  x2 −( 2 )
ν+1

f (x) = √ 2 ν 1 + , x ∈ R.
πνΓ( 2 ) ν
(12) t(µ, ν) denotes the (non-central) Student’s t-distribution with non-
centrality parameter µ ∈ R and ν ∈ N degrees of freedom. This
distribution is composed of Z, a normally distributed random vari-
able with unit variance and zero mean, and V , a Chi-square dis-
tributed random variable with ν degrees of freedom (independent
of Z), via (Z + µ)/ V /ν.
(13) P areto(α, x0 ) denotes the Pareto distribution with parameters
α, x0 > 0, i.e. with survival function
 x α
F̄ (x) = 1 − F (x) =
0
½{x≥x0 } + ½{x<x0 } , x ∈ R.
x
2 The motivation for this distribution is the composition of Z, a normally distributed

random variable with unit variance and zero mean, and V , a Chi-square

distributed
random variable with ν degrees of freedom (independent of Z): Z/ V /ν has a t(ν)-
distribution.
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page 4

4 Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

(14) Geo(p) denotes the geometric distribution with success probability

p ∈ (0, 1]. The (discrete) density of X with Geo(p)-distribution is
P(X = k) = (1 − p)k−1 p for k ∈ N.
(15) Beta(a, b) denotes the Beta distribution with parameters a, b > 0.
Its density is given by
Γ(a + b) a−1
f (x) = ½{x∈(0,1)} x (1 − x)b−1 .
Γ(a) Γ(b)
Abbreviations for other distributions are introduced when they first appear.
The symbol ∼ means “distributed according to”, e.g. E ∼ Exp(1) means
that E is an exponential random variable with unit mean.

1.1 Copulas

The law of a d-dimensional random vector X := (X1 , . . . , Xd ), defined on a

probability space (Ω, F , P), is usually studied from its distribution function
F (x1 , . . . , xd ) := P(X1 ≤ x1 , . . . , Xd ≤ xd ), x1 , . . . , xd ∈ R.
For i = 1, . . . , d the distribution function Fi of Xi is called the (univariate)
marginal law or margin and can be retrieved from F via
Fi (xi ) := P(Xi ≤ xi ) = F (∞, . . . , ∞, xi , ∞, . . . , ∞), xi ∈ R.
Taking ∞ as an argument of F is used as a shorthand notation for taking the
limits as the arguments x1 , . . . , xi−1 , xi+1 , . . . , xd tend to infinity. It is im-
portant to mention that it is not enough to know the margins F1 , . . . , Fd in
order to determine F . Additionally it is required to know how the marginal
laws are coupled. This is achieved by means of a copula of (X1 , . . . , Xd ).
Generally speaking, knowing the margins and a copula is equivalent to
knowing the distribution. It is now appropriate to give the definition of a
copula.
Definition 1.1 (Copula)

(1) A function C : [0, 1]d → [0, 1] is called a (d-dimensional) copula,

if there is a probability space (Ω, F , P) supporting a random vector
(U1 , . . . , Ud ) such that Uk ∼ U[0, 1] for all k = 1, . . . , d and
C(u1 , . . . , ud ) = P(U1 ≤ u1 , . . . , Ud ≤ ud ), u1 , . . . , ud ∈ [0, 1].
(2) On a probability space (Ω, F , P) let (U1 , . . . , Ud ) be a random vec-
tor on [0, 1]d whose joint distribution function (restricted to [0, 1]d)
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page 5

Introduction 5

is a copula C : [0, 1]d → [0, 1]. For i = 2, . . . , d and indices

1 ≤ j1 < . . . < ji ≤ d the notation Cj1 ,...,ji : [0, 1]i → [0, 1] is
introduced for the joint distribution function of the random subvec-
tor (Uj1 , . . . , Uji ). It is itself a copula and called an i-margin of
C.

For a random vector (U1 , . . . , Ud ) ∈ [0, 1]d on the d-dimensional unit cube
the values of its distribution function on Rd \ [0, 1]d are completely deter-
mined by its values on [0, 1]d . Thus, copulas are defined on [0, 1]d only. A
d-dimensional copula C induces a probability measure dC on the unit cube
[0, 1]d . More clearly, if a random vector (U1 , . . . , Ud ) on [0, 1]d is defined on
the probability space (Ω, F , P) and has distribution function C, then



dC(B) := P (U1 , . . . , Ud ) ∈ B , B ∈ B [0, 1]d .
The measure dC is called the probability measure associated with the copula
C. It is uniquely determined by C. The three simplest examples of copulas
are defined in the following examples.
Example 1.1 (Independence Copula)
The function Π : [0, 1]d → [0, 1], given by
d
Π(u1 , . . . , ud ) := ui , u1 , . . . , ud ∈ [0, 1],
i=1
is called the independence copula. To see that Π actually is a copula,
consider a probability space (Ω, F , P) supporting i.i.d. random variables
U1 , . . . , Ud with U1 ∼ U[0, 1]. The random vector (U1 , . . . , Ud ) then has
U[0, 1]-distributed margins and joint distribution function
d d
P(U1 ≤ u1 , . . . , Ud ≤ ud ) = P(Ui ≤ ui ) = ui
i=1 i=1

= Π(u1 , . . . , ud ), u1 , . . . , ud ∈ [0, 1].

The independence of the components of Π explains the nomenclature.

Example 1.2 (Comonotonicity Copula)

Considering a probability space (Ω, F , P) supporting a single random vari-
able U ∼ U[0, 1], the random vector (U1 , . . . , Ud ) := (U, . . . , U ) ∈ [0, 1]d has
U[0, 1]-distributed margins and joint distribution function
P(U1 ≤ u1 , . . . , Ud ≤ ud ) = P(U ≤ min{u1 , . . . , ud })
= min{u1 , . . . , ud }, u1 , . . . , ud ∈ [0, 1].
May 17, 2017 16:28 Simulating Copulas - 9in x 6in b2921-Main page 6

6 Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

Consequently, the function M : [0, 1]d → [0, 1], defined by

M (u1 , . . . , ud ) := min{u1 , . . . , ud }, u1 , . . . , ud ∈ [0, 1],

is a copula called the copula of complete comonotonicity (also called the

upper Fréchet–Hoeffding bound, see Lemma 1.3).

Example 1.3 (Countermonotonicity Copula)

Considering a probability space (Ω, F , P) supporting a single random vari-
able U ∼ U[0, 1], the bivariate random vector (U1 , U2 ) := (U, 1 − U ) ∈ [0, 1]2
has perfectly negatively associated components (i.e. if U1 is large, then U2 is
small, and vice versa). This random vector has U[0, 1]-distributed margins
and joint distribution function

P(U1 ≤ u1 , U2 ≤ u2 ) = P(1 − u2 ≤ U ≤ u1 )
= (u1 + u2 − 1) ½{1−u2 ≤u1 } , u1 , u2 ∈ [0, 1].

Consequently, the function W : [0, 1]2 → [0, 1], defined by

W (u1 , u2 ) := (u1 + u2 − 1) ½{u1 +u2 ≥1} , u1 , u2 ∈ [0, 1],

is a bivariate copula called the copula of complete countermonotonicity

(also called the lower Fréchet–Hoeffding bound, see Lemma 1.3).

When dealing with copulas, especially in larger dimensions, many computa-

tions exhibit a combinatorial character. This is mainly due to the fact that
the dimension d ≥ 2 is a “discrete” number. The following basic fact from
probability calculus will sometimes be useful in this regard and is stated
here for later reference. It shows how to compute the probability of a union
of events in terms of probabilities of intersections.

Lemma 1.1 (Principle of Inclusion and Exclusion)

Let (Ω, F , P) be a probability space. With A1 , . . . , An ∈ F one has3
 n   
P Ai = (−1)|I|+1 P Aj
i=1 ∅=I⊂{1,...,n} j∈I
n  k 
= (−1)k+1 P Aij .
k=1 1≤i1 <...<ik ≤n j=1

Proof. See, e.g., Billingsley (1995, p. 24).

3 For n = 2: P(A1 ∪ A2 ) = P(A1 ) + P(A2 ) − P(A1 ∩ A2 ).
 Another Random Document on
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near which stretched a wide expanse of level moorland, yellow with
the broom and whin.
They quickened their pace, and soon heard an occasional winding of
horns and the loud voices of men, which directed their steps to a
broad hollow, or holm, on the verge of the moor farthest from the
tower of Ballinshaw, and traversed by a burn, the banks of which
were lined with aged saughs. There a considerable concourse of
men had assembled, partly armed, retainers and partly peasantry,
straggled about on both sides of the water, some of the former
trotting up and down on horseback, some lounging on the grass
casting dice, whilst their steeds grazed at random. In the midst of a
well-appointed band of jackmen appeared a knight in half-armour,
Sir Robert Home, the Sheriff, a man of middle age, with a grey
beard. A young page attended him, bearing aloft a spear with a
gauntlet or glove on the point of it, as the well-known border
emblem of peace and amity. Behind their superior stood the footmen
of the party, some six Sheriff Officers or “Serjeants,” as they are
distinctively termed in the old Acts of the Scottish Parliament. Their
status was denoted by white wands in their hands; blazons, or
medallions of brass, charged with the royal arms, displayed upon
their breasts; and horns (for denouncing rebels) hanging from their
necks by iron chains; while, for greater security in those troublous
times, when law was so often defied, each officer was armed with a
sword, and wore an iron bascinet cap, and gloves of mail.
 Chapter VI.
The times are wild; contention, like a horse
Full of high feeding, madly hath broke loose,
And bears down all before him.
King Henry IV., Part Second.

EITHER of the contending parties had yet appeared on the

ground, although the hour of meeting was rather past, as shown
by the position of the sun in the cloudless firmament. The Sheriff
was indicating signs of uneasiness at the delay. But now, on the
farther confines of the broomy moor, a dark, moving object was
descried, which soon resolved itself into a rider, and by and by into a
monk, habited in black frock and cowl, and mounted on a mule,
which was trotting at an easy pace. This was an ecclesiastic, who
had been summoned from the nearest religious house to assist in
administering the judicial oath to the witnesses at the arbitration.
The breast of his frock was bulged out by what had the appearance
of a volume within it, which was retained in its place by the cord
encircling his waist. It was a frequent custom of the time that priests
went about the country, when required, to perform the sacraments
of matrimony and baptism, carrying their missal in their breasts, and
thereby acquiring the vulgar appellation of book-a-bosoms. Thus, we
are told, in the Lay of the Last Minstrel, about the goblin page, when
he discovered the magic book which William of Deloraine carried,
that

Much he marvell’d a knight of pride

Like a book-bosom’d priest should ride.

The monk’s mule bore the commonest caparisons, but several small
bells hanging at the bridle-reins, so that we may say of the rider,
what old Dan Chaucer said of his pilgrim-father on the merry journey
to Canterbury shrine, that

When he rode, men might his bridle hear

Gingling, in a whistling wind, as clear
And eke as loud as doth the chapel bell.

The dark brother rode up to the Sheriff, who, with a courteous

salute, desired him to take position by his side.
Ere much longer time had fled a company of horsemen arrived—
Lauder of Ballinshaw and retainers, prominent among which last was
the gentle Johnston. Such of the party as were intended for witness-
bearing dismounted. Ballinshaw was a wiry, short-statured man,
bearing his advanced years well; but his sallow and shrivelled visage
had an air of avarice and duplicity, which was attempted to be
hidden under an evident mask of careless candour. Offering his hand
to the Sheriff, he delivered himself as follows, in a wheezing, jog-trot
tone:—
“My humble service, Sir Robert, to uttermost power. I’m a wee ahint
the appointed time; but some o’ my witnesses were slack in coming
forward; though I’m glad and proud to think that you’ll find them a’
leal and true men that wadna forswear themsel’s for a King’s
ransom. Gude kens! I dinna wish to wheedle ony man oot o’ his
richts, far less my neighbour, Royston Scott, though he has lang
borne enmity to me without cause. I see I’m before-hand wi’ him:
he’s no’ on the field yet.”
“No,” answered the Sheriff, “and if he delays much longer, I shall
adjourn the meeting to another day.”
“He’s a thrawart tyke, as I ken to my cost,” replied Ballinshaw,
shaking his head. “We micht ha’e lived in gude neighbourhood, and
settled a’ disputes ower a friendly flagon; but na—he wad carry
a’thing ower my head, kenning that I was a man o’ peace. I durstna
hunt ower the ground ayont the burn. He slauchtered my hounds,
chased my serving-men, and vowed that if I mysel’ daured to set
foot across the holm, he wad be my death. Now, he ne’er had a
shadow o’ richt to the ground; for, time out o’ mind, my forbears
hunted ower it to the foot o’ the hill yonder, without let or
hindrance.”
“And I presume you are possessed of legal evidence to prove your
claim?” said the Sheriff. “Charters, and so forth?”
“Deil a scrap o’ write ha’e I, my lord—mair’s the pity,” responded
Lauder, feigning a smile. “Ance in a day there was a muckle iron-
banded kist, panged fu’ o’ musty parchments, that stood in the
closet o’ the south turret; but a’e nicht the closet took fire, and kist
and charters were burned to eizels, and gaed up in the air like
peelings o’ ingans. Still, my witnesses are passing gude; and, Sir
Robert, let me say—”
“They shall be heard in due course,” said the Sheriff. “Defer your
statements till the proper time. I cannot listen to either party until
both are present.”
“That’s gude law; for ilka man’s tale is gude till anither’s be tauld,”
returned Ballinshaw. “But what I ha’e yet to say is meant for your
private ear.”
“My duty is to act publicly, not privately,” said the Sheriff; but not
willing to be harsh, he added—“If what you wish to say does not
concern the case in hand, I am ready to hear you. Say on, and be
brief.”
Ballinshaw took hold of the knight’s bridle, and led him slowly away
out of earshot of the assemblage. “Sir Robert,” said the crafty Laird,
coming to a stand, and speaking low, “as you cannot but be satisfied
in your ain mind that I am likeliest, frae auld use and wont, to ha’e
the richtfu’ claim to the disputed ground—”
“Stay,” interrupted the Sheriff, angrily. “This still affects the
arbitration. Would you have me to prejudge the case? I cannot, in
conscience, listen to you.”
“A moment, Sir Robert, a moment,” implored Lauder, holding tightly
by the bridle. “I was thinking that, as you will mind, when we were
baith in our youthy days—though I had the advantage o’ you in
years—how you whiles cam’ to Ballinshaw wi’ your faither; and how
I took you amang the bosky knowes to gather brambles and
blaeberries; and sometimes made a fishingwand and tackle for you,
and sorted your bow and arrows, and helpit you to climb trees for
nests—ah! thae were lichtsome days: now, I say, I was thinking that
maybe for langsyne and its friendship, you could ca’ me through the
present troublesome business wi’ little din—and I wad mak’ up a
purse—”
“Hah! you would pollute the source of justice by a foul bribe?”
ejaculated the Sheriff, frowning deeply.
“Siller can do nae man harm,” said Lauder, with an insinuating smile.
“You ken the proverb—‘There’s a time to gley, and a time to look
even’: and wherefore shouldna a man gley for the sake o’ his ain
pouch? Far be it frae my wish to wrang ony man; but Royston Scott
has lang been kent as ane that cares na a whistle on his thumb for
a’ the laws and shirras in braid Scotland; and it wadna be amiss in
you, Sir Robert, to gi’e an auld friend a feather out o’ sic a corbie’s
wing. I hear you’re pressed by Ben Magog, the Jew of Berwick, for
some siller he lent you on bond. Settle this business in my favour,
and I’ll help to clear you o’ the Jew’s grip.”
The Sheriff, in silent scorn, released his rein from Lauder’s hold. At
that moment, the blast of a horn pealed from the adjacent hill, and a
cry arose—“Yonder is Altoncroft at last, wi’ a sturdy clump o’ spears
at his back!” The Sheriff, avoiding Lauder’s renewed clutch at his
bridle, rode back to his train.
The summit of the height was crowned by a troop of horsemen,
whose arms and armour flashed in the sunlight. They numbered
double Ballinshaw’s party, which fact caused him to look nervous,
and to whisper, in an agitated voice, to the gentle Johnston, who,
with a stout aspect, strove to reassure him. The approaching band
spurred hard down the grassy slope of the hill, and traversing the
low ground like the shadow of a flying cloud, soon reached the
rendezvous and drew bridle. Altoncroft was a man in the vigour of
life, and of a tall and muscular figure, with a harsh cast of features,
and fierce grey eyes. He wore a leathern jack, plated with mail on
the breast and the sleeves, and a steel cap, from which a long red
plume drooped down his back, whilst his weapons were lance,
sword, and dagger.
“You are late in keeping tryst,” said the Sheriff.
“’Twill not deny,” answered Altoncroft, leaving his saddle and making
a humble obeisance. “But, sooth to tell, my knaves broached a cask
of double ale yesternight, and were loth to leave the dregs this
morning. I crave your pardon, my lord Sheriff, and kiss your hand.
And to the matter before us—I bring witnesses who, I think, will
clearly establish my rights. I desire to have a free and fair decision,
and will submit to it when it is pronounced; but I say frankly that if
injustice be done me—”
“There shall be no injustice done either party,” responded the Sheriff.
“Proceed we to business: and I trust that no broil will break the
amity of our meeting, but that all will respect this emblem of peace,”
pointing to the spear and glove, which his page held aloft. “Time
wears on, and we shall proceed. Sergeants, proclaim and fence our
court of arbitration.”
One of the sergeants blew his horn thrice, and then made the
proclamation, and “fenced the court” (as the phrase was) against all
disturbance, which was denounced under high pains and penalties.
The contending parties, mostly dismounted, were arranged on either
side of the Arbiter, who elected to hear Altoncroft’s evidence first.
Altoncroft, like his opponent, had no documents of any kind to
produce—his charters and sasines having long become non-existent,
so that his case depended entirely upon what lawyers call parole
proof. The monk, now on foot, and holding open his book, which
was an old manuscript copy of the Gospels and richly illuminated,
advanced to discharge the duty of administering the usual oath to
the witnesses. This he did with all solemnity. Each man, when called
in rotation, swore, with his right hand laid upon the sacred volume,
and afterwards partook of a morsel of bread, and pronounced the
imprecation that if he told an untruth the morsel might become
mortal poison—a form probably borrowed from the Hebrew judicial
procedure with the “water of jealousy.”
The bulk of Altoncroft’s proof, as expiscated chiefly by questions
from the Sheriff, amounted somewhat to this—that the Laird’s
predecessors seemed to have always regarded the disputed ground,
embracing a wide portion of the moorland on one side of the
Deadman’s Holm, as their own property, the burn being, to a
considerable extent, the line of march. There were flaws in the
witness-bearing, and much of it did not hang well together, as being
inconclusive and sometimes contradictory hearsay. But Ballinshaw
appeared to consider the proof as possessing a good deal of weight.
When it came to his turn to adduce his witnesses, he whispered to
Johnston, who was to be the first sworn—“Now comes the pinch,
Edie; and for Gudesake dinna fail me! Thae Altoncroft rogues ha’e
said ower muckle, and we maun damnify them, else we’re lost.
Dinna you mind the bit aith; it’s just mere wind out o’ your mouth.
Ne’er scruple, lad, in your master’s service. A fu’ purse aye heals a
troubled conscience. Stand up stoutly for my richt, and ding them a’
doon. The lave o’ our men will follow you like a wheen sheep louping
a dyke.”
“I daurna do mair than I ha’e promised, Laird, though it were for my
ain faither,” responded Edie, shaking his head. “But trust me, what I
promised, and what I’ll swear in the face o’ the sun, will bear you
out. Tak’ nae fear.”
The Sergeant’s horn sounding again, Edie, assuming the firmest
demeanour he could, laid down his spear, and presented himself for
examination. He took the oath and the ordeal with becoming gravity,
and then proceeded to depone how it consisted with his belief that
the ground in question belonged to Ballinshaw. Edie swore that he
had frequently heard his father, grandfather, and other discreet men,
who knew the locality, say so: that this was the common
understanding of the country: that he himself had often seen
Ballinshaw hunt over the said portion of moorland. “And to make
siccar,” added he, “if your lordship will please to walk ower the
ground alang wi’ me, I will point out the true marches as they were
aye considered.”
This was the most matter-of-fact proposal which had been as yet
offered, and it was readily accepted. Edie took his way, accompanied
by nearly the whole of the assemblage. He made a wide circuit,
inclining sometimes to the right and sometimes to the left. “The auld
march rins this way, according to what I’ve heard, and according to
what I ken,” he repeatedly deponed. “I’m walking here on the land
o’ Ballinshaw. I swear, on soul and conscience, that the yird aneath
my feet is Ballinshaw’s sure and certain.”
In this way he traversed a large space of the moorland, greatly to
the satisfaction of his master, whose cunning eyes sparkled with joy.
But the fiery Laird of Altoncroft, unable to control his chagrin longer,
suddenly confronted the witness and bade him halt. The undaunted
Johnston obeyed, folding his arms, and giving his interrupter a
sarcastic scowl.
“Do you, sirrah, dare to swear that what you are pointing out are the
true boundaries of my lands?” demanded Altoncroft.
“What cause is there to doubt his word?” cried Ballinshaw, pressing
to the support of his hopeful witness. “Let the worthy Shirra judge.”
“I tell you, Altoncroft,” said the witness, drawing himself up to his
full height; “I tell you, as I ha’e sworn, that all alang the yird o’
Ballinshaw’s land has been aneath my feet. Will that content you?”
“Mis-sworn villain!” ejaculated Altoncroft, furiously.
“I’m nae mis-sworn villain,” retorted Johnston: “and were you and
me here alane, wi’ only the broom-bushes around us, I wad gar you
eat back your foul words. I ha’e seen your back before this day, and
I may see it again.”
Altoncroft, stung by the retort, thrust his spear at the speaker’s
body, piercing the iron-plated jack. Johnston uttered a yell of
mingled rage and pain, and staggering back under the shock, vainly
attempted to unsheath his sword, and then dropped to the ground
at full length. An applauding cheer from one party of the spectators,
and a vengeful cry from another, boded a general conflict. Swords
were drawn, and spears lowered, and warlike slogans arose amidst
the tumult. Altoncroft, having withdrawn his lance, would have
repeated his thrust, had not Ruthven Somervil, on the impulse of the
moment, started forward, and baring his blade, strode across the
prostrate man to save him from further assault. A dozen spears were
levelled at the youth’s breast, and as many advanced to protect him.
The Sheriff spurred his horse into the press, and commanded all to
keep the peace. His command had the effect of enforcing a pause.
 Chapter VII.
Aft trifles big mishanters bring,
Frae whilk a hunder mair may spring;
An’ some, wha thrawart tempers ha’e,
Aft stand unkent in their ain way;
But aye, to guard against a coup,
Fowk should look weel afore they loup.
—Richard Gall—“The Tint Quey.”

The fish shall never swim the flood,

Nor corn grow through the clay,
If the fiercest fire that ever was kindled
Twine me and Rothiemay.
—Ballad—“The Burning of Frendraught.”

HE timely interposition of the Sheriff prevented the commission of

more violence. “Back! Altoncroft!” cried he, whilst his men
surrounded the fallen trooper, whom Ballinshaw, with trembling
arms, was endeavouring to raise. “Draw off your followers,
Altoncroft,” continued Sir Robert. “You have broken Border faith, and
insulted the representative of the law and the King.”
Altoncroft, sullenly sheathing his dagger, answered with a growl
—“The audacious falsehoods of this varlet would have moved patient
Job; and I am not to be blamed.”
“I swore no falsehoods, but gave leal and soothfast witnessing,”
retorted Johnston, who was now resting on his left elbow; “and this
I’ll also swear, that next time we meet in a fair field we shall not part
thus,” shaking his gauntleted right hand at his enemy.
“Come awa’ oot o’ this sturyfyke, master,” whispered the gaberlunzie
to Ruthven. “You stand in deadly peril; for Royston Scott is nae craw
to shoot at. Come awa’.”
He succeeded in drawing Ruthven out of the tumult. Altoncroft
obeyed the Sheriff by leading his men back some space, and so
allowed his victim’s comrades to gather around him and do what
they could to staunch his wound. Under the impression that the
gentle Johnston was dying, the attendant priest pressed through the
confusion, knelt on the grass at his side, and holding up a crucifix,
prepared to shrive him; but Edie scouted the notion that his end was
near.
“Dinna fear for me, holy father,” he said, smiling grimly. “As broken a
ship has come to land; and Death and me winna shake hands at this
time o’ day. And never think that I have perjured mysel’; for the sin
o’ perjury is not on my conscience. The ground is not Ballinshaw’s,
you say? I never made faith that it is. Bethink ye, holy father, o’ my
words. I swore that I stood on my master’s ground; and so I did.
Pull aff my boots, and you will find, in the soles o’ them, an inch or
twa o’ earth from the yard o’ Ballinshaw tower. That saves my
conscience, and makes the matter but a jest: so if I am to die, I
winna die with a falsehood in my mouth.” He finished with a hollow
laugh at the deception which he had practised.
At this juncture a horseman, with the royal cognizance, the rampant
red lion, emblazoned on his breast, galloped up the side of the
stream, and made directly towards the Sheriff, to whom he delivered
a sealed packet. The knight cut asunder the silken strings that
bound it, broke the seal, and opening the packet, eagerly scanned
the paper which it contained. His cheek reddened, his eyes sparkled,
and he bit his nether lip, then deliberately re-folding the document,
which seemed to have given him both surprise and mortification, he
handed a few coins to the messenger, who, after making dutiful
acknowledgment, turned his horse, and rode off as rapidly as he had
come.
“A strange revolution of Fortune’s wheel,” whispered the Sheriff to
his chief attendant. “The King’s Grace has appointed George
Hepburn, the kinsman of Altoncroft, Sheriff in my room, and
commends me to resign my office into his hands without delay, for
which purpose he is to be at Jedburgh to-morrow at noon. This is
the work of my unfriends at our fickle Sovereign’s court. Altoncroft
cannot yet know of the change, else he would spurn my authority
and provoke strife: therefore, I must dismiss him at once. I should
have arrested him when he stabbed the witness; but I feared that
such action would only embroil the business still further; and I am
now glad it was not done.”
The Sheriff went over to Royston Scott, and said that after what had
happened on the field, the arbitration proceedings behoved to be
adjourned to some future day, and also enjoined him to retire, and
to keep the peace. Altoncroft obeyed, and departed with his
followers.
“There’s the main danger blawn ower,” said the gaberlunzie, viewing
with much satisfaction the rude Laird’s retreat. “We winna toom a
tankard wi’ the gentle Johnston the nicht; and wha kens whether
he’ll see the morn? We’ll tak’ the road, wi’ your leave, master, as
lang as the play is fair.”
What road?—whither were they going? Ruthven indicated his
intended destination, but did not desire to return to Greenholm,
where he had changed his dress; and he added that he wished his
route to be taken, so far as practicable, by paths not commonly
frequented, to avoid any other mischance. The gaberlunzie was
ready to accompany him by any route.
They left the Deadman’s Holm without attracting much notice, and
were speedily in the midst of solitudes. As the day wore to its close,
they made a halt on the edge of a wood, and what Harthill’s wallet
yet contained, in the shape of viands, formed a substantial repast.
This done, the journey was resumed while the sun was setting.
How red he glares amongst those deepening clouds,
Like the blood he predicts.

Soon, through the fading lustre above Sol’s ocean-bed, Hesperus,

the lover’s star, sparkled brightly. Our wayfarer’s path now led near a
sluggish stream which skirted a hilly chain, and beyond the heights
lay a village, where, as Harthill said, they might find lodgement for
the night; but it had this disadvantage, that it was part of the barony
pertaining to Altoncroft’s kinsman, the newly-made Sheriff, and,
therefore, Ruthven thought that their more prudent course would be
to seek a less questionable place of rest. But, in short, to tell the
truth, he was secretly desirous of parting, as soon as might be, with
Willie, and of pursuing his course alone to Berwick, where he might
obtain shipping for France—a country which afforded opportunities,
to friendless and adventurous young Scots like himself of carving out
their fortunes with their swords.
The twilight darkened, and the path grew wilder. Occasionally the
harsh screams of birds of prey smote on the ear, and seemed to chill
the gaberlunzie’s blood.
“I dinna like the cries o’ thae birds ava—they aye bode ill,” he said.
“Nae doubt they think to pyke our banes belyve. Shue! shue! ye evil
emissaries! Our Lady help us! was yon a groan? Heard you naething,
master?”
“It sounded like the fall of a fragment of rock from yonder cliff,”
answered Ruthven, with indifference.
Harthill shook his head, as if dubious of the explanation. His mind
engrained with superstitious frailty, he began to hear uncanny
sounds all around him. Every sough of the wind among the brackens
was a dread presage. Hurrying his steps, he frequently left Ruthven
in the rear; and to every half-jocular remonstrance of the youth,
whose strength of limb was fast failing, Willie had but one apology:
—
“It’s a bogley part this after dark. I’ve heard as mony stories aboot
ugsome sichts seen here as there’s teeth in my head. I wadna put
ower a nicht here, no for the crown o’ Scotland. Haste you, master,
haste you! It’s for your ain gude.”
Without doubt he meant well. But Ruthven flagged more and more,
and, after climbing a grassy eminence, which was surmounted by
the ruins of a place of strength, he protested that, happen what
might, he would go no farther.
“You’re in jest, master?” cried Harthill, scratching the side of his
head in sheer vexation.
“We can rest here till daylight,” replied Ruthven. “The place is lone,
and therefore safe.”
“Safe?” echoed Willie, with somewhat of asperity. “If we be sae daft
as to rest here, we may ne’er see daylicht. Be advised, master, be
advised.”
Ruthven, however, was not to be advised. He advanced towards the
ruin. The gaberlunzie followed with laggard pace, and shrank back
when an owl started out, and, hooting dolefully, flew over their
heads.
“There’s a warning!” ejaculated Willie. “The place is fu’ o’ uncanny
things. Come back, for ony sake.”
But Ruthven still advanced. The ruin, in its palmy days, had
consisted of a massive square tower of two storeys above the
ground floor, with battlemented roof, and surrounded by an outer
wall, which was now broken down to heaps of rubbish, overgrown
with coarse vegetation. The roof had fallen in, and so had both
floors, leaving only a shell of crumbling, grim walls: the courtyard
was miry: and the arched portal preserved no vestige of the iron-
bound door which had once barred passage. As Ruthven was about
to pass inward, he was stayed for a moment by the almost hysterical
entreaties of his companion, who now assumed a tone of wailing.
“I shall lodge here till morning,” answered the youth determinedly.
“If anything earthly molests me, I carry a stout heart and a trusty
blade; and unearthly things I fear not.”
The gaberlunzie held up his hands in deprecation of such a foolhardy
resolve; but at length he said—“Aweel, master, a wilfu’ man maun
ha’e his ain way, and I maun leave you for the nicht. May a’ haly
saints watch ower you! I’ll gang-on to the neist bigging, and in the
morning I’ll come back; but I fear the morning winna find you a
living wicht.”
“Never fear; but do as you say,” responded Ruthven. “Take this small
guerdon”—bestowing some money. “You’ll find me in the morning
hale and sound. Good-night, and good luck.”
The gaberlunzie was loth to part; but his superstitious nature
prevailed, and he took leave, reiterating his promise to return in the
morning.
Ruthven entered the ruined pile. The interior was heaped with fallen
stones and debris. Casting his eye upward, as from the bottom of a
deep well, he saw the dim welkin overhead, which was becoming
sprinkled with golden cressets.

Star after star, from some unseen abyss,

Came through the sky, like thoughts into the mind,
We know not whence.

Some square apertures in the walls, which once were windows, were
partly choked with grass: a narrow stone stair had given access to
the first storey, but only a few of the lower steps remained intact:
the air felt damp and chill, and the pervading silence was like that of
a sepulchre. Ruthven weariedly sat down on a hillock of ruin close to
the portal, and bending his face upon his hands, fell into a reverie,
which eventually lapsed into troubled slumber.
When he awoke from a confused dream, trembling with cold, all was
dark around him. He arose and went out into the courtyard to look
at the sky. It was cloudless, and bright with the celestial host; and a
gusty breeze blew from the west. As he turned in that direction, he
perceived, upon the verge of the horizon, a glimmering light, which
rose and fell alternately, but in short space grew into a broad and
steady glare. Was “yon red glare the western star?” or was it “the
beacon-blaze of war?” Whatever it was, it speedily became an
intense mass of flame, shedding a lurid gleam on earth and heaven.
As Ruthven watched the mysterious fire, the clatter of horses
approaching from the west struck his ear. He receded into the portal,
and drew his sword. In a few moments several horsemen, riding in
disorder, broke dimly on his view as they ascended the height. Up
they came: they urged their panting steeds over the rubbish of the
wall, and drew rein in the courtyard. They were five in number, all
wearing warlike harness, and seemed to have fled from an
unsuccessful fight. Four dismounted, but the remaining one kept his
saddle, and gazed back to the distant blaze, which was now sinking.
“Woe worth this nicht, that has seen mair ruin wrought than can be
repaired in a lang life time!” ejaculated this rider, wringing his hands.
“That cruel spoiler! that bluid-thirsty riever! Curses on him that wad
fire an auld man’s house aboon his head!”
Ruthven recognised the voice as that of Lauder of Ballinshaw.
“A stranger here! a lurking enemy!” exclaimed one of the party,
spying Ruthven in the doorway; but instantly Ruthven called out that
he was no enemy but a friend to Ballinshaw.
“By St. Bryde! this is the brave lad that defended our Edie when he
fell!” cried the man, “Of a surety he is a friend.”
Ruthven, assured of safety, stepped out of the portal, and sheathing
his brand, hastened to the old Laird’s side, inquiring what had
befallen; but the question had to be thrice repeated ere Lauder
seemed to hear and comprehend it, and then he started, and
peering down into Ruthven’s face, exclaimed—“Wha is this?”
“The stranger who defended our Edie,” said the retainer who had
previously spoken.
“Indeed!” said Ballinshaw, in a vague way, and again directing his
eye towards the fading fire. “See yonder what’s befaun. Bluidshed
and murder! Ruth and ruin! A’ is lost—the airn kist fu’ o’ merks in the
secret closet ahint the spence—the candlesticks and the plate that
my great-grandsire brought frae the Low Countries—a’ plundered—a’
gane. But how cam’ you here, lad?”
“Night overtook me on my way, and I sought shelter here, where
scant shelter there is,” replied Ruthven.
“We seek refuge, too,” said the retainer; “but if Altoncroft be in
pursuit o’ us—”
“Altoncroft!” cried Ruthven. “Is he the ravager?”
“Ay,” returned the man. “His hatred has burnt up Ballinshaw. When
we reached hame yesterday, word was heard that our fickle King
had appointed Altoncroft’s kinsman Sheriff, in room o’ the just Sir
Robert Home; and we heard the news like our death-knell. Dreading
the warst, as weel we micht, we prepared the auld house for
defence—armed every man and callant—and keepit strict watch.
Afore midnicht, Altoncroft cam’ wi’ a’ his power. There was a fierce
and deadly struggle; but he brak’ in wi’ his ruthless band, and we
were driven out, and the place was fired. The flames lichted our way
as we fled.”
“Did Edie Johnston perish in the struggle?” asked Ruthven.
“Not that I can tell,” said the retainer. “When the enemy brak’ in, we
lowered Edie into the subterranean passage that leads frae the ha’
to the middle o’ the garden; but if the villains discovered his hiding
place, they would gi’e him but short shrift.”

Note.—A parallel to the catastrophe of the arbitration is recorded

in Sir John Sinclair’s “Statistical Account of Scotland” (Vol. V.,
 153), as having occurred in the parish of Menmuir, in the county
of Forfar:—
“Two lairds quarrelled about their marches, and witnesses were
brought to swear to the old boundaries. One of these chieftains,
provoked to hear his opponent’s servant declare, on oath, that
he then stood on his master’s ground, pulled a pistol from his
belt, and shot him dead on the spot. It was found that to save
his conscience he had earth in his shoes brought from his laird’s
lands.”

“A’ my strength is blasted like a flower o’ the field, and a’ my gear

gane like snaw aff a dyke,” moaned Ballinshaw, again wringing his
hands. “But the enemy may be hard ahint us, and we maun on and
awa’—on and awa’.”
“Our horses are blawn, and we maun gi’e them some minutes’ rest,”
said the retainer, languidly laying himself on a heap of rubbish.
Scarcely had they thought of rest when the clatter of hoofs sounded
in the glen below. Ballinshaw started in affright, and the next
moment had fallen from his steed, a victim of apoplexy.
“’Tis Royston Scott!” exclaimed one of his retainers. “We are but
dead men!”
The pursuers, headed by Altoncroft, rapidly began to ascend the hill.
Leading his followers, Scott encouraged them in their work with
promise of reward. Ruthven Somervil watched their movements,
and, lifting a large stone, cast it down upon Altoncroft with so sure
an aim that it struck horse and man to the earth. For the moment
there was panic among Scott’s supporters, but an instant later,
having left their leader to recover as best he might, they made for
the crest of the hill, all eyes ablaze with vengeance against the
youth who had thrown their master.
Ruthven wisely decided on flight. Entering the ruined fort, he
dragged himself up on the broad sill of one of the windows, and
leapt upon the soft, boggy ground beneath, seized one of the
horses, and galloped away. Shouts and cries were behind him; he
pricked his horse with his dagger for want of spurs, and dashed
among the mountains, never drawing rein until he considered
himself safe from the reach of the anger of the house of Altoncroft.
 Chapter VIII.
“The star of the unconquered will,
He rises in my breast,
Serene and resolute and still,
And calm and self-possessed.”

ITTLE did Ruthven Somervil reck that Edie Johnston, whom he

had so valiantly defended, was the man who had slipped him
through the portal of Hawksglen on that long-past night. Had a
suspicion, even hinting at that, dawned upon him, he would have
instantly sought out Edie and tried to learn from him something of
his descent. With Johnston and kindred spirits he was destined to
have much in common, but the question of his parentage was never
mentioned in their hearing.
Ruthven found refuge at Hunterspath, a notorious Border-raiders’
stronghold. The tidings he brought of the outrage on Ballinshaw, and
his modest recital of the part he himself had played in recent events,
won the sympathy and admiration of the mosstroopers, and he soon
proved his daring before their own eyes. None was more fearless
than Ruthven, no sword on all the Borders was sharper than his, and
when, at the end of two years, the Chief of Hunterspath went down
to his robber grave as the result of a treacherous thrust from a
foeman’s spear, Ruthven Somervil was hailed as his successor. To
him was assigned the Captaincy by common consent, and never a
man went back on his choice.
The daring life of a mosstrooper did not ill agree with Ruthven’s
valiant spirit. He was never more in his element than when leading
his men across the English Border on some mission of pillage, and
never prouder than when he withdrew into the stronghold of
Hunterspath to share his spoils with his companions.
But sometimes, when alone, a kindly thought of Eleanor Elliot
brought a mist to his eyes as he considered how ill-suited a Border-
raider was to be a mate of such a gentle lady. From the topmost
turret of his own keep he would gaze in the direction of Hawksglen,
and try to discern the towers of the ancient castle where his
childhood and youth had been passed.
“Some day, some day,” he would sigh, “God grant that I may clasp
my fair angel to my breast.”
Since the morning when he had said good-bye to Sir James and
Lady Elliot, more than three years ago, no word had ever passed
between him and Eleanor. But something told him that the fair
daughter of Hawksglen, who had looked into his eyes with the eyes
of affection, was true to his undeclared love, and would yet welcome
him to her arms. Had he known that Lady Elliot was assiduously
endeavouring to arrange a marriage between Eleanor and Sir
Anthony Maxwell of Rutherwell, it would have filled him with alarm,
but even knowledge of that kind would not have shaken his faith in
the companion of his early years. One summer evening, when he
was more than usually moody, the long-desired opportunity of
seeing Hawksglen came in his way. Edie Johnston burst in upon the
mosstroopers.
“The English loons are owre again!” he exclaimed. “Sir Dacre de
Ermstein and twa hunder o’ his men are spreading disaster on every
hand. I hear that Elliot’s place is the next mark for them.”
“Elliot? Hawksglen?” queried Ruthven, as he sprang to his feet.
“Ay, the very same,” replied Edie.
“Then to-night we must strike a blow for the honour of Scotland.
The quarrel of Elliot shall be our quarrel, and God help the English
loon that fa’s in our way.”
A few minutes later, at the head of his followers, Ruthven Somervil
was advancing rapidly towards Hawksglen. Already news of the
attack from the English enemy had spread in the district, and barons
and their retainers, from different quarters, had assembled to help
Elliot, and resist their common foe. When Ruthven and his men
appeared upon the scene the conflict was at its height. Sir Anthony
Maxwell, cheered by the thought that Eleanor’s hand might be the
reward of his valour, fought nobly for the house of Elliot. But it was
evident that Sir Dacre de Ermstein was to be victor. Once or twice
the defenders had been forced back, and the spirits of the garrison
began to droop. Then came the turn in fortune’s wheel. The reivers
burst through the lines, and changed the fate of Hawksglen.
Another half-hour and the defeat of the English was complete. Horse
and foot broke away from the fatal conflict, and fled for refuge in
every direction. A murmur of rage broke from the lips of Ermstein,
and he turned to one of his followers.
“This robber chief—his name?” he demanded.
“Ruthven Somervil. He keeps the Tower of Hunterspath with a
powerful and desperate band.”
“Ruthven Somervil,” said the knight slowly; “he shall be
remembered. Chance may yet throw vengeance into my power. But
Elliot may thank his robber allies, for, had not they come to his aid,
the flag of Dacre de Ermstein would now have been floating
triumphantly over the towers of Hawksglen.”
Giving vent to his anger in these and similar words, the English
knight withdrew his forces, and retired in the direction of the Border.
The raiders of Hunterspath, greedy of booty, did not hesitate to
despoil the English dead, and went about their business, while the
servants of Hawksglen succoured those who had been wounded in
defence of their house.
Sir James Elliot invited Maxwell, and others who had come to his
relief, to partake of his hospitality, and Lady Elliot was most
assiduous in her attentions to the guests.
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