Some Remarks on T-copulas

Volf Frishling and David G Maher

Papers from arXiv.org

Abstract: We examine three methods of constructing correlated Student-$t$ random variables. Our motivation arises from simulations that utilise heavy-tailed distributions for the purposes of stress testing and economic capital calculations for financial institutions. We make several observations regarding the suitability of the three methods for this purpose.

Date: 2010-05
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