Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20
In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US … simulated returns give very similar but not identical results. Furthermore, the copula simulation provides more accurate market-risk …
