. The choice of copula (normal versus student-t), which determines the level of tail dependence, has a more modest effect on … risk. We then compare the copula-based method with several conventional approaches to computing risk, each of which may be …, tracks the copula approach surprisingly well. In contrast, the additive approximation, which assumes no diversification …

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