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
Volume (Year): 9 (2005)
Issue (Month): 4 (October)
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