On Conditional Value at Risk (CoVaR) for tail-dependent copulas
نویسندگان
چکیده
منابع مشابه
conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Multivariate Fréchet copulas and conditional value-at-risk
Based on the method of copulas, we construct a parametric family of multivariate distributions using mixtures of independent conditional distributions. The new family of multivariate copulas is a convex combination of products of independent and comonotone subcopulas. It fulfills the four most desirable properties that a multivariate statistical model should satisfy. In particular, the bivariat...
متن کاملOn the Subadditivity of Tail-Value at Risk: An Investigation with Copulas
In this paper, we compare the point of view of the regulator and the investors about the required solvency level of an insurance company. We assume that the required solvency level is determined using the Tail-Value at Risk and analyze the diversification benefit, both on the required capital and on the residual risk, when merging risks. To describe the dependence structure, we use a range of v...
متن کاملConditional Value at Risk
We suggest a new methodology to overcome several well-known deeciencies of Value at Risk computations. Our approach mainly addresses two aspects of Value at Risk: rst, to avoid potentially disastrous clustering in predicted tail events we derive a new approach to accurately estimating the conditional distribution of asset returns using maximum entropy densities. Second, by the very nature of th...
متن کاملThree steps method for portfolio optimization by using Conditional Value at Risk measure
Comprehensive methods must be used for portfolio optimization. For this purpose, financial data of stock companies, inputs and outputs variable, the risk measure and investor’s preferences must be considered. By considering these items, we propose a method for portfolio optimization. In this paper, we used financial data of companies for screening the stock companies. We used Conditional Value ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Dependence Modeling
سال: 2017
ISSN: 2300-2298
DOI: 10.1515/demo-2017-0001