Quotation Sak, Halis, Hörmann, Wolfgang, Leydold, Josef. 2010. Efficient Risk Simulations for Linear Asset Portfolios in the t-Copula Model. European Journal of Operational Research (EJOR) 202 (3): 802-809.




We consider the problem of calcu-lating tail probabilities of the returns of linear asset portfolios. As a flexible and accurate model for the logarithmic returns we use the t-copula dependence structure and marginals following the generalized hyperbolic distribution. Exact calcu- lation of the tail-loss probabilities is not possible and even simulation leads to challenging numerical problems. Applying a new numerical inversion method for the generation of the marginals and importance sampling with carefully selected mean shift we develop an efficient simulation algorithm. Numerical results for a variety of realistic portfolio examples show an impressive performance gain. DOI 10.1016/j.ejor.2009.06.025


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal European Journal of Operational Research (EJOR)
Citation Index SCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, INF-A, STRAT-A, VW-B, WH-A
Language English
Title Efficient Risk Simulations for Linear Asset Portfolios in the t-Copula Model
Volume 202
Number 3
Year 2010
Page from 802
Page to 809
Reviewed? Y


Sak, Halis (Former researcher)
Hörmann, Wolfgang (Former researcher)
Leydold, Josef (Details)
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
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