), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …

by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates yield information about …

copulas has been proposed in the area of credit risk for modeling loss distributions, particularly T copulas which lead to …