Yan Wendy Wu
Abstract
The article uses four copulas(i.e.Gaussian copula,Student's t-copula,grouped t-copula and Clayton n-copula) to measure credit risk of the portfolio and optimize portfolio with the linear programming.The result shows that t-copula is the best to measure risk dependence and provides optimal asset allocation.
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The article uses four copulas(i.e.Gaussian copula,Student's t-copula,grouped t-copula and Clayton n-copula) to measure credit risk of the portfolio and optimize portfolio with the linear programming.The result shows that t-copula is the best to measure risk dependence and provides optimal asset allocation.
Key concepts: Copula (linguistics), Portfolio, Portfolio optimization, Econometrics, Gaussian, Modern portfolio theory, Credit risk, Multivariate t-distribution