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

被引：40

作者：

Schloegl, L ^{[1
]}

O'Kane, D ^{[1
]}

机构：

[1] Lehman Brothers Int Europe, Fixed Income Quantitat Res, London E14 5LE, England

来源：

FINANCE AND STOCHASTICS | 2005年 / 9卷 / 04期

关键词：

large portfolios; student-t distribution; copula functions;

D O I：

10.1007/s00780-004-0142-7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We extend the Large Homogeneous Portfolio (LHP) approximation to the case of the Student-t copula, and provide analytic formulae for the density and the cdf of the portfolio loss distribution. We compare the Value-at-Risk implied by the Student-t copula to that obtained using the Gaussian as well as two prominent members of the Archimedean family, namely the Clayton and the Gumbel copulae.

引用

页码：577 / 584

页数：8

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[No title captured]

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