---
title: Comparative Performance of Archimedean and Elliptical Copulas in Tail Risk Estimation: Evaluating VaR and Expected Shortfall During Market Crashes
url: https://www.ml-quant.com/papers/ssrn/7650300/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-23
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 7650300
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7650300
featured: 2026-10-23
citations: unknown
topic: Risk, Credit & Banking
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7650300
- Identifier: SSRN 7650300
- Released: 2026-10-22
- First featured: Quant Letter No. 136 (2026-10-23): https://www.ml-quant.com/issues/2026-10-23/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Risk, Credit & Banking
- Authors: Henry Mayambu

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