In ’Part II: A Joint Framework in Dependence Modelling’ we introduced a joint modelling framework capable of capturing dependence of risk across financial markets. In this part we evaluate the framework by performing simulations and discuss the implications of utilizing a dependence model like this.

The overall structure of part III is as follows; first we describe the input data used to calibrate our model, and briefly discuss its statisical properties. Then we go on to describe the calibration method followed by a section on the portfolio simulation itself. We finish by presenting the results and a brief summary.