Abstract
We extend the Large Homogeneous Portfolio (LHP) approximation to the case of the Student-t copula, and provide analytic formulae for the density and the cdf of the portfolio loss distribution. We compare the Value-at-Risk implied by the Student-t copula to that obtained using the Gaussian as well as two prominent members of the Archimedean family, namely the Clayton and the Gumbel copulae.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.