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

Lutz Schloegl and Dominic O’Kane ()

Finance and Stochastics, 2005, vol. 9, issue 4, 577-584

Abstract: 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. Copyright Springer-Verlag Berlin/Heidelberg 2005

Keywords: Large portfolios; Student-t distribution; copula functions (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (16)

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DOI: 10.1007/s00780-004-0142-7

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