A new algorithm based on copulas for VaR valuation with empirical calculations

DOI10.1016/j.tcs.2007.02.038zbMath1121.91044OpenAlexW2047761468MaRDI QIDQ883999

Peng Shi, Ping Li, Gang Cheng

Publication date: 13 June 2007

Published in: Theoretical Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.tcs.2007.02.038

zbMATH Keywords

copulasMonte Carlo simulationvalue-at-riskSpearman's rho

Mathematics Subject Classification ID

Related Items (4)

Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization ⋮ Modeling dependence based on mixture copulas and its application in risk management ⋮ Measurement of bivariate risks by the north-south quantile points approach ⋮ Forecasting VaR and ES of stock index portfolio: a vine copula method

Cites Work

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• Dependence and order in families of Archimedean copulas
• On two dependent individual risk models.
• Distribution functions of multivariate copulas.
• Improved rank-based dependence measures for categorical data.
• Hutchinson -- Lai's conjecture for bivariate extreme value copulas.
• Supermodular dependence ordering on a class of multivariate copulas
• Improving financial risk assessment through dependency
• On the multivariate probability integral transformation
• Distribution functions of copulas: A class of bivariate probability integral transforms

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