Estimation of the value at risk using the stochastic approach of Taylor formula

DOI10.1155/2020/6802932zbMath1486.91097OpenAlexW3002811071WikidataQ126302135 ScholiaQ126302135MaRDI QIDQ1989038

Vini Yves Bernadin Loyara, Diakarya Barro, Remi Guillaume Bagré

Publication date: 24 April 2020

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/6802932

zbMATH Keywords

Taylor-Young formulavalue-at-risk of the multivariate copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (1)

STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS

Uses Software

• ismev

Cites Work

• An introduction to copulas. Properties and applications
• Properties and calculation of multivariate risk measures: MVaR and MCVaR
• Coherent Measures of Risk
• MULTIVARIATE RISKS MODELING FOR FINANCIAL PORTFOLIO MANAGEMENT AND CLIMATE APPLICATIONS
• An introduction to statistical modeling of extreme values
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