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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%