Archimedean copula in the computation of value-at-risk : an application to Singapore stock market. by Wu, Daniel Yuelong., Mok, Shiao Wai., Sim, Jian Wei., Tan, Wei Qin.

“…The Value-at-Risk (VaR) is of central importance in modern financial risk management. Of the various methods that exist to compute the VaR, the most popular are historical simulation, the variance-covariance method. …”
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Comparison of Archimedean copula and mean variance method in estimating VaR an application to different stock portfolios by Tian, Cheng, Lin, Yiqing, Fan, Helan

“…Value-at-Risk (VaR) is one of the most important tools used in modern financial risk management. The development of VaR estimation techniques is vibrant in recent decades. …”
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