Coherent Measures of Credit Portfolio Risk Based on t-copula

Using expected shortfall (ES) as credit portfolio risk measures, this paper models the obligors’ asset correlation by t-copula and calculates credit portfolio loss distribution by applying small sample asymptotics. Then, through comparing the results under gauss copula and t-copula, we get a proper method to calculate the coherent risk measure and study model risk in modeling obligors’ asset correlation.