Reitan, Trond; Aas, Kjersti
The Journal of Credit Risk, vol. 6, torsdag 1. juli 2010
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.