Comparative Performance of Archimedean and Elliptical Copulas in Tail Risk Estimation: Evaluating VaR and Expected Shortfall During Market Crashes
Asymmetric Clayton and Gumbel copulas and fat-tailed Student-t copulas substantially outperform Gaussian copulas at capturing lower-tail dependence and crisis losses.
Featured in No. 136 on 23 Oct 2026 · 1 day after release
- Released
- 22 Oct 2026
- First featured
- No. 136 · 23 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7650300
- Authors
- Henry Mayambu
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