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