Measurement of Aggregate Risk With Copulas  

Oleh:

Junker, Markus ; May, Angelika

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 8 no. 3 (2005), page 428-454.
Topik: MEASUREMENTS; copula; tail dependence; archimedean copula; frank copula; survival copula; risk measurement in bivariate portfolios
Fulltext: 428.pdf (247.64KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

When aggregating financial risk on a portfolio level, the specification of the dependence structure between the risk factors plays an important role. Promising parametric models are often based on a so - called copula approach. Case studies of market crashes suggest the application of concepts allowing for extremal dependence. We present a transformed copula as a new model that both fits the data and allows for exact prediction in the tails. It turns out that the new model improves benchmark models like the t - or Clayton copula with respect to risk measures like VaR or Expected Shortfall. By performing different goodness - of - fit tests, the quality of the estimation is examined.

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