Some Remarks on T-copulas
AbstractWe examine three methods of constructing correlated Student-$t$ random variables. Our motivation arises from simulations that utilise heavy-tailed distributions for the purposes of stress testing and economic capital calculations for financial institutions. We make several observations regarding the suitability of the three methods for this purpose.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1005.4456.
Date of creation: May 2010
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Web page: http://arxiv.org/
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