Some Remarks on T-copulas
Risk Management
2010-05-26 v1 Probability
Portfolio Management
Abstract
We examine three methods of constructing correlated Student- 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.
Cite
@article{arxiv.1005.4456,
title = {Some Remarks on T-copulas},
author = {Volf Frishling and David G Maher},
journal= {arXiv preprint arXiv:1005.4456},
year = {2010}
}
Comments
15 pages, 7 figures. Submitted to QMF2010