Copula-based estimation of value at risk for the portfolio problem

DOI10.1007/978-981-16-5576-0_1OpenAlexW4206676553MaRDI QIDQ6130853

Naoyuki Ishimura, Andres Mauricio Molina Barreto

Publication date: 3 April 2024

Published in: Proceedings of the Forum "Math-for-Industry" 2018 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-16-5576-0_1

zbMATH Keywords

copulaestimationvalue at riskportfolio problem

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)

Cites Work

• Portfolio optimization with a copula-based extension of conditional value-at-risk
• An introduction to copulas.
• Multivariate value at risk and related topics
• On a measure of lack of fit in time series models
• Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model
• Principles of Copula Theory
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