Archimedean copulas with applications to VaR estimation

DOI10.1007/S10260-015-0326-7MaRDI QIDQ2013643zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Konrad Furmańczyk

Publication date 8 August 2017

Published in Statistical Methods and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10260-015-0326-7

zbMATH Keywords

Archimedean copulasorder statisticsconfidence interval for VaR

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)

Recommendations

• Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
• On the distribution of sums of random variables with copula-induced dependence
• Archimedean copulae for risk measurement
• Dependence and order in families of Archimedean copulas
• Statistical Inference Procedures for Bivariate Archimedean Copulas

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1301888 (Why is no real title available?)
• scientific article; zbMATH DE number 3797009 (Why is no real title available?)
• An introduction to copulas. Properties and applications
• Analysis of the Expected Shortfall of Aggregate Dependent Risks
• Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
• Bounds on the value-at-risk for the sum of possibly dependent risks
• Diversification of aggregate dependent risks
• Families of Multivariate Distributions
• Limit theory for multivariate sample extremes
• On distributions of order statistics for absolutely continuous copulas with applications to reliability
• On the Tail Behavior of Sums of Dependent Risks
• Order Statistics
• The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
• Understanding Relationships Using Copulas

Cited in

(21)

• Archimedean copulae for risk measurement
• Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
• scientific article; zbMATH DE number 1894358 (Why is no real title available?)
• Estimation of hierarchical Archimedean copulas as a shortest path problem
• Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
• The dispersive effect of cross-aging with archimedean copulas
• Multivariate Archimax copulas
• Copulas checker-type approximations: application to quantiles estimation of sums of dependent random variables
• A note on allocation of portfolio shares of random assets with Archimedean copula
• Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
• scientific article; zbMATH DE number 5973798 (Why is no real title available?)
• How to improve the fit of Archimedean copulas by means of transforms
• On tail dependence coefficients of transformed multivariate Archimedean copulas
• scientific article; zbMATH DE number 6458325 (Why is no real title available?)
• Extreme Value Theory and Archimedean Copulas
• On the distribution of sums of random variables with copula-induced dependence
• On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
• Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
• On the structure and estimation of hierarchical Archimedean copulas
• Tails of multivariate Archimedean copulas
• Estimating Archimedean copulas in high dimensions

This page was built for publication: Archimedean copulas with applications to VaR estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2013643)