De copulis non estdisputandum Copulae: An Overview

Normal distribution of the residuals is the traditional assumption in the classicalmultivariate time series models. Nevertheless it is not very often consistent with the real data.Copulae allows for an extension of the classical time series models to nonelliptically distributedresiduals. In this paper we apply dierent copulae to the calculation of the static and dynamicValue-at-Risk of portfolio returns and Prot-and-Loss function. In our ndings copula basedmultivariate model provide better results than those based on the normal distribution.