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

Schlögl, Lutz; O'Kane, Dominic - In: Finance and stochastics 9 (2005) 4, pp. 577-584

Persistent link: https://www.econbiz.de/10003133291

Value-at-risk calculations with time varying copulae

Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2005

Persistent link: https://www.econbiz.de/10003035839

Quantitative risk management : concepts, techniques and tools

McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul - 2005

Persistent link: https://www.econbiz.de/10002934295

On the use of copulas for calculating the present value of a general cash flow

Goovaerts, Marc J.; De Schepper, Ann; Hua, Yong; … - In: Tijdschrift voor economie en management 50 (2005) 1, pp. 69-93

Persistent link: https://www.econbiz.de/10002749736

An application of Kendall distributions

Anjos, Ulisses dos; Kolev, Nikolai - In: Tijdschrift voor economie en management 50 (2005) 1, pp. 95-101

Persistent link: https://www.econbiz.de/10002749740

A limit theorem for copulas

Lindner, Alexander (contributor); … - 2005

We characterize convergence of a sequence of d-dimensional random vectors by convergence of the one-dimensional margins and of the copula. The result is applied to the approximation of portofolio modelled by t-copulas with large degrees of freedom, and to the convergence of certain dependence...

Persistent link: https://www.econbiz.de/10002754590