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It seems to me hard to intuitively understand the concept of copulas and their advantages. For example, why would it be better to estimate value at risk of portfolio by modelling its asset returns with copula and sampling from it, than to simply estimate it from portfolio returns, whether it is by bootstrapping or directly from distribution. Would also appreciate more pros of using copulas

Thanks in advance!

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  • $\begingroup$ How would you sample a 1-in-100 years return, say, from historic returns? $\endgroup$ – g g Apr 25 at 18:18
  • $\begingroup$ i think the original question is a good one. what is the intuition of the copula portfolio, and how does it construct portfolios without historical data $\endgroup$ – develarist Aug 19 at 16:02

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