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Bounds for Value at Risk - The Approach Based on Copulas with Homogeneous Tails
Company: Mathware & Soft Computing
Year Of Publication: 2008
Month Of Publication: January
Pages: 113-124
Download Count: 9
View Count: 1210
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 11-13-2011
Publisher: Administrator
Summary
The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and ?nance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for the detailed study of the tail behaviour of the multivariate copulas. In this paper we investigate the class of copulas having homogeneous lower tails. We show that having only such information on the structure of dependence of returns from assets is enough to get estimates on Value at Risk of the multiasset portfolio in terms of Value at Risk of one-asset portfolios.
(volume 15, number 1)
Author(s)
Jaworski, Piotr Sign in to follow this author
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