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Table 6 Value-at-Risk at 99% for a portfolio of two assets

From: Value-at-risk under ambiguity aversion

Copula

c = 0.5

c = 0.4

c = 0.3

c = 0.2

c = 0.1

Gaussian

23.35%

24.88%

25.40%

24.68%

22.01%

Student

23.45%

24.98%

25.50%

24.76%

22.07%

Clayton

25.22%

26.71%

27.12%

26.18%

23.13%