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On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails

Guo-Dong Xing, Xiaoli Gan, Xiaohu Li, Shanchao Yang. On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails. Communications in Statistics - Simulation and Computation, 49(9):2462-2471, 2020. [doi]

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