Estimation of the value at risk using the stochastic approach of Taylor formula (Q1989038)
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scientific article; zbMATH DE number 7193172
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of the value at risk using the stochastic approach of Taylor formula |
scientific article; zbMATH DE number 7193172 |
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Estimation of the value at risk using the stochastic approach of Taylor formula (English)
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24 April 2020
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Summary: The aim of this paper is to provide an approximation of the value-at-risk of the multivariate copula associated with financial loss and profit function. A higher dimensional extension of the Taylor-Young formula is used for this estimation in a Euclidean space. Moreover, a time-varying and conditional copula is used for the modeling of the VaR.
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value-at-risk of the multivariate copula
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Taylor-Young formula
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