Affordable Access

A note on the large homogeneous portfolio approximation with the Student-t copula



We extend the Large Homogeneous Portfolio (LHP) approximation to the case of the Student-t copula, and provide analytic formulae for the density and the cdf of the portfolio loss distribution. We compare the Value-at-Risk implied by the Student-t copula to that obtained using the Gaussian as well as two prominent members of the Archimedean family, namely the Clayton and the Gumbel copulae. Copyright Springer-Verlag Berlin/Heidelberg 2005

There are no comments yet on this publication. Be the first to share your thoughts.