Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)
نویسندگان
چکیده
منابع مشابه
Dynamic copula modelling for Value at Risk
This paper proposes dynamic copula and marginals functions to model the joint distribution of risk factor returns affecting portfolios profit and loss distribution over a specified holding period. By using copulas, we can separate the marginal distributions from the dependence structure and estimate portfolio Value-at-Risk, assuming for the risk factors a multivariate distribution that can be d...
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In recent years analyses of dependence structures using copulas have become more popular than the standard correlation analysis. Starting from Aas, Czado, Frigessi, and Bakken (2009) regular vine pair-copula constructions (PCCs) are considered the most flexible class of multivariate copulas. PCCs are involved objects but (conditional) independence present in data can simplify and reduce them si...
متن کاملValue-at-risk (var)
VALUE-AT-RISK Value-at-Risk (VaR) measures the worst expected loss under normal market conditions over a specific time interval at a given confidence level. As one of our references states: “VaR answers the question: how much can I lose with x% probability over a pre-set horizon” (J.P. Morgan, RiskMetrics–Technical Document). Another way of expressing this is that VaR is the lowest quantile of ...
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ژورنال
عنوان ژورنال: Journal of Time Series Econometrics
سال: 2019
ISSN: 1941-1928,2194-6507
DOI: 10.1515/jtse-2017-0016