%0 Journal Article
%T Portfolio Risk and Dependence Modeling
%A Arsalan Azamighaimasi
%J International Journal of Financial Research
%D 2012
%I 
%R 10.5430/ijfr.v4n1p151
%X This paper has considered portfolio credit risk with a focus on two approaches, the factor model, and copula model. We have reviewed two models with emphasis on the joint default probably. The copula function describes the dependence structure of a multivariate random variable, in this paper, it used as a practical to simulation of generate portfolio with different copula, and we only used Gaussian and t¨Ccopula case. We generated portfolio default distributions and studied the sensitivity of commonly used risk measures with respect to the approach in modeling the dependence structure of the portfolio.
%U http://www.sciedu.ca/journal/index.php/ijfr/article/view/2214