Vitenskapelig artikkel   2010

Reitan, Trond; Aas, Kjersti

Publikasjonsdetaljer

Tidsskrift:

The Journal of Credit Risk, vol. 6, torsdag 1. juli 2010

Utgave:

4

Internasjonale standardnumre:

Trykt: 1744-6619
Elektronisk: 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.