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%