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Risk Management with Copulae
Company: CASE - Humboldt-Universität zu Berlin
Year Of Publication: 2005
Month Of Publication: August
Resource Link: Click here to open
Pages: 48
Download Count: 0
View Count: 1054
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 5-5-2013
Publisher: Administrator
Summary
Copulae allow for dynamical modelling and adaption to portfolios: di?erent copulae with distinct properties can be associated to di?erent portfolios according to their speci?c dependence structures. Furthermore, copulae may change as time evolves, re?ecting the evolution of the dependence between ?nancial assets. Summarizing, the Value-at-Risk estimation with copulae is more e?cient and ?exible than methods based on normality assumption.
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Author(s)
Giacomini, Enzo Sign in to follow this author
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