Search Results - subject:"Multivariate t copula"

Correlation breakdowns, spread positions and central counterparty margin models

Li, David; Cerezetti, Fernando; Cheruvelil, Roy - In: The journal of financial market infrastructures 11 (2024) 3, pp. 19-40

Persistent link: https://www.econbiz.de/10015441864

The impact of extreme events on portfolio in financial risk management

Chuangchid, K.; Kittawit Autchariyapanitkul; Songsak … - In: Robustness in econometrics, (pp. 679-690). 2017

Persistent link: https://www.econbiz.de/10011802012

Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks

Lu, Zhaoyang - In: Mathematics and Computers in Simulation (MATCOM) 82 (2011) 4, pp. 604-616

– multivariate t copula function is used to measure the relation among the selected cells. In the final, the simulation results … suggest that substantial savings can be achieved through measuring the dependence by means of multivariate t copula function …

Persistent link: https://www.econbiz.de/10010751770