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Efficient risk simulations for linear asset portfolios in the t-copula model
2010
European Journal of Operational Research
We consider the problem of calculating tail probabilities of the returns of linear asset portfolios. As a 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-loss probabilities is not possible and even simulation leads to challenging numerical problems. Applying a new numerical inversion method for the generation of the marginals and importance sampling
doi:10.1016/j.ejor.2009.06.025
fatcat:yj4xv5jx5fbrllr5ctreu2rfde