. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series … models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static … and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …

. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …

Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be … uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for …

Gaussian, the NIG, the double-t, and the Gumbel copula model. After calibration of these models one obtains a time varying …

consistent framework. Credit spreads are modelled by geometric Brownian motions with a dependence structure powered by a t-copula …