Some Remarks on T-copulas

MaRDI QIDQ6218885zbMATH OpenFDO

Authors Volf Frishling, David G. Maher

Publication date 24 May 2010

Mathematics Subject Classification ID

Distribution theory (60E99) Statistics of extreme values; tail inference (62G32)

Abstract: We examine three methods of constructing correlated Student-$t$ random variables. Our motivation arises from simulations that utilise heavy-tailed distributions for the purposes of stress testing and economic capital calculations for financial institutions. We make several observations regarding the suitability of the three methods for this purpose.

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