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Some Remarks on T-copulas


  • Volf Frishling
  • David G Maher


We 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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  • Volf Frishling & David G Maher, 2010. "Some Remarks on T-copulas," Papers 1005.4456,
  • Handle: RePEc:arx:papers:1005.4456

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