A note on the large homogeneous portfolio approximation with the Student-t copula

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. Copyright Springer-Verlag Berlin/Heidelberg 2005

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Year of publication:	2005
Authors:	Schloegl, Lutz ; Dominic O’Kane
Published in:	Finance and Stochastics. - Springer. - Vol. 9.2005, 4, p. 577-584
Publisher:	Springer
Subject:	Large portfolios \| Student-t distribution \| copula functions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005166852