Bayesian Copulae Distributions, with Application to Operational Risk Management—Some Comments

This paper points out mistakes in some results given in the paper "Bayesian Copulae Distributions, with Application to Operational Risk Management” by Luciana Dalla Valle, published in 2009 in volume11, number1 of "Methodology and Computing in Applied Probability”. In particular, we explain why the inverse Wishart distribution is not a conjugate prior to the Gaussian copul