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Multivariate Extremes at Work for Portfolio Risk Management
Company: Finance
Year Of Publication: 2002
Month Of Publication: December
Pages: 125-144
Download Count: 1857
View Count: 10161
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 8-18-2002
Publisher: Administrator
Summary
This paper proposes a methodology to provide risk measures for portfolios during extreme events. The approach is based on splitting the multivariate extreme value distribution of the assets of the portfolio into two parts: the distributions of each asset and their dependence function named copula. The estimation problem is also investigated. A trivariate empirical application for market indices portfolios (US, German and Japanese stock markets) is provided. Then, stress-testing values and Monte-Carlo based risk measures—Value-at-Risk and Expected Shortfall—are computed. (pre-publication version)
Author(s)
Bouye, Eric Sign in to follow this author
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