The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study

DOI10.1016/J.CSDA.2008.02.002MaRDI QIDQ961410zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Dean Fantazzini

Publication date 30 March 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2008.02.002

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• An introduction to copulas. Properties and applications
• Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models
• Autoregressive Conditional Density Estimation
• Comparison of semiparametric and parametric methods for estimating copulas
• Copula model evaluation based on parametric bootstrap
• Handbook of econometrics. Vol. 4
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Measurement of aggregate risk with copulas

Cited in

(14)

• Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
• On multivariate asymmetric dependence using multivariate skew-normal copula-based regression
• Vine copulas with asymmetric tail dependence and applications to financial return data
• Numerical solutions comparison for interval linear programming problems based on coverage and validity rates
• Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree
• Measurement of bivariate risks by the north-south quantile points approach
• Time-varying joint distribution through copulas
• Three-stage semi-parametric estimation of \(t\)-copulas: asymptotics, finite-sample properties and computational aspects
• A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks
• Extreme dependence in investor attention and stock returns -- consequences for forecasting stock returns and measuring systemic risk
• An application of copulas to OPEC’s changing influence on fossil fuel prices
• Range-based risk measures and their applications
• Efficiency gains in value-at-risk and expected shortfall estimation by using copulas and full maximum likelihood
• Likelihood-based instrumental variable methods for Cox proportional hazards model

Describes a project that uses

Uses Software

• FinTS
• QRM

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