Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
apply di erent copulae to the calculation of the static and dynamic
Value-at-Risk of portfolio returns and Pro t ….
Keywords: copula; multivariate distribution; value-at-risk; multivariate dependence.
JEL Classi cation: C13, C14, C50.
1 … the calculation of the Value-at-Risk for the
portfolio return has been discussed in Sections 6 and in the beginning of …