A note on the large homogeneous portfolio approximation with the Student-\(t\) copula (Q2488500): Difference between revisions

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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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