A Copula-Based Quantile Model

DOI10.1007/978-3-319-89824-7_56zbMath1397.62177OpenAlexW2884387179MaRDI QIDQ4689052

Giorgia Rivieccio, Giovanni De Luca, Stefania Corsaro

Publication date: 12 October 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-89824-7_56

zbMATH Keywords

loss functionvalue-at-riskcopula function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Uses Software

• CAViaR

Cites Work

• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• Evaluation of volatility predictions in a VaR framework

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