Publication details
- Journal: The Journal of Credit Risk, vol. 6, Thursday 1. July 2010
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International Standard Numbers:
- Printed: 1744-6619
- Electronic: 1755-9723
The paper explores different ways to estimate Value-at-Risk and similar financial measures using normal copula assumptions. We made a new method based on Markov chain Monte Carlo (MCMC), which we compared to the existing estimation methods and which turned out to work well. We also tried our method on t distribution copulas, and it still seemed to work well.
