2
Applications of Copulas for the Calculation of Value-at-Risk
2.1
Copulas
2.2
Computing Value-at-Risk with Copulas
2.2.1
Selecting the Marginal Distributions
2.2.2
Selecting a Copula
2.2.3
Estimating the Copula Parameters
2.2.4
Generating Scenarios - Monte Carlo Value-at-Risk
2.3
Examples
2.4
Results
Bibliography