estimation of these two top distributions by using the best data available for Germany. We leverage the bivariate copula to … model. The copula modelling grants the separability in choosing the estimation domain as well as the parametric … model fit with external validation. The copula estimate can help us to perform out-of-sample prediction on the very top of …

that the use of a Gaussian copula in credit risk stress testing should not by default be dismissed in favor of a heavy …-tailed copula which is widely recommended in the finance literature. Gaussian copula would be the appropriate choice for estimating … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …

specifications used elsewhere in the literature, including different copula models. The approach followed supports ultimate … results suggest that dynamic copula based measures of tail dependence incorporate almost all essential pricing information …