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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

 
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