Modeling the Dependence of Losses of a Financial Portfolio Using Nested Archimedean Copulas

In financial analysis, stochastic models are more and used to estimate potential outcomes in a risky framework. This paper proposes an approach of modeling the dependence losses on securities, loss portfolio is divided into sectors each including two subsectors. The Weibull model describe behavior default time while nested class Archimedean copulas at three levels maximum value risk portfolio.