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Apr
20
accepted Do I need a copula to accurately estimate the VaR of a portfolio of risky assets?
Apr
20
comment Do I need a copula to accurately estimate the VaR of a portfolio of risky assets?
Thanks for your reply, but if I were to use historical VaR on 20 assets (or even 6 as in your example), wouldn't it suffer from the curse of dimensionality? I thought that's why I needed to make distributional assumptions.
Apr
20
awarded  Student
Apr
20
comment Do I need a copula to accurately estimate the VaR of a portfolio of risky assets?
Well no model is perfect. I am aware of the criticism that people have put too much trust in VaR and gaussian copula, but that doesn't mean they have no use. What would you suggest instead?
Apr
20
asked Do I need a copula to accurately estimate the VaR of a portfolio of risky assets?
Apr
17
awarded  Teacher
Apr
17
answered Application of ACD models