Portfolio Stress-Testing with Multi-Asset Copulas: A Step-by-Step Guide
Introduction
The global investment landscape is rife with complexity, from cross-asset contagion to sudden geopolitical shocks. Traditional risk measures such as Value at Risk (VaR) can underestimate extreme co-movements, leaving portfolios vulnerable during market crises. Portfolio stress-testing with multi-asset copulas offers a statistically rigorous way to model tail dependence across