Value-at-risk modeling with conditional copulas in Euclidean space framework

MaRDI QIDQ4632758zbMATH OpenFDO

Authors Vini Yves Bernadin Loyara, Diakarya Barro

Publication date 30 April 2019

Full work available at URL https://www.ejpam.com/index.php/ejpam/article/view/3347

zbMATH Keywords

copulasEuclidian spacegeometric yieldscalar productVaR

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

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Cites work

• A scalar product for copulas
• An introduction to copulas. Properties and applications
• Coherent measures of risk
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Multivariate risks modeling for financial portfolio management and climate applications
• On multivariate extensions of conditional-tail-expectation
• Some classes of multivariate risk measures
• Statistics of Extremes
• Tails of multivariate Archimedean copulas

Cited in

(11)

• Using copulae to bound the value-at-risk for functions of dependent risks
• Multivariate Fréchet copulas and conditional value-at-risk
• Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
• Estimation of the value at risk using the stochastic approach of Taylor formula
• Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
• scientific article; zbMATH DE number 5363850 (Why is no real title available?)
• Stochastic increase in CDS and CDO portfolio premiums
• Links between the incomplete gamma function and the independent and Gumbel copulas
• Modeling portfolio loss dependence using Fréchet distribution and nested Clayton copulas
• Applying Fisher's and student's laws in probability density function calculation methods
• Copula of Bernstein and degree of discordance

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