Efficient Risk Simulations for Linear Asset Portfolios
We consider the problem of calculating tail probabilities of the returns of linear asset portfolios. As flexible and accurate model for the logarithmic returns we use the $t$-copula dependence structure and marginals following the generalized hyperbolic distribution. Exact calculation of the tail-lo...
| Main Authors: | , , |
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| Format: | Others |
| Language: | en |
| Published: |
Department of Statistics and Mathematics, WU Vienna University of Economics and Business
2008
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/1200/1/document.pdf |