This article examines the ability of time-varying Gaussian and Student t copulas to accurately predict the probability … of the Eurostoxx50 and Dow Jones Industrial stock indices, Gaussian and Student t copulas are calibrated daily on a … distributions. Thus, the focus remains on the examination of the appropriateness of the two types of copulas. One of our findings is …

), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …

modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a …

and techniques such as copulas. …

parsimonious set of copulas. We find evidence of downside risk in several risk factors.Interestingly for research on systemic risk …