A note on the large homogeneous portfolio approximation with the Student-\(t\) copula (Q2488500): Difference between revisions
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Latest revision as of 23:33, 18 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the large homogeneous portfolio approximation with the Student-\(t\) copula |
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A note on the large homogeneous portfolio approximation with the Student-\(t\) copula (English)
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24 May 2006
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The authors extend the large homogeneous portfolio (LHP) approximation to the case of the Student-\(t\) copula. They derive closed-form solutions for the density and the cumulative distribution functions of the loss distribution. They study analytically the influence of the tail dependence on the value-at-risk and other risk measures of this portfolio in the asymptotic setting. They compare the value-at-risk implied by the Student-\(t\) copula to that obtained using the Gaussian and Clayton and Gumbel copulae.
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large portfolios
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Student-\(t\) distribution
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copula function
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