Quantile-Based Estimative VaR Forecast and Dependence Measure: A Simulation Approach

Table 2

The estimative VaR forecast and its coverage probability (in the bracket) of a random loss that depends on another random loss.

	Normal
Bivariate normal	1.9951 (0.9509)	Bivariate	1.8636 (0.9500)
Gaussian copula	1.5273 (0.9533)	copula	2.4528 (0.9543)
Clayton copula	1.5359 (0.9542)	Clayton copula	2.4674 (0.9549)