Search results for "non gaussian distributions"

On VaR using modified gaussian copula

2008

The problem of modeling asset returns is one of the most important issue in finance. People generally use Gaussian processes because of their tractable properties for computation. However, it is well known that asset returns are fat-tailed leading to an underestimation of the risk. One of the most recent proposals is to model the interdependence of asset returns, for example in a portfolio, by means of Copulas and choose marginal distributions with fat tail to fit the single asset returns. The aim of the paper is to show first results concerning the evaluation of Portfolio Value-at-Risk (VaR) using the Gaussian copula, modified by introducing a particular correlation coefficient, and assumi…