Bounds for value at risk : the approach based on copulas with homogeneous tails

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2008 Spain English Publisher:Universitat Politècnica de Catalunya. Secció de Matemàtiques i Informàtica

Authors: Jaworski, P.;

handle: 2099/13163

Bounds for value at risk : the approach based on copulas with homogeneous tails

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Abstract

The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and nance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for the detailed study of the tail behaviour of the multivariate copulas. In this paper we investigate the class of copulas having homogeneous lower tails. We show that having only such information on the structure of dependence of returns from assets is enough to get estimates on Value at Risk of the multiasset portfolio in terms of Value at Risk of one-asset portfolios

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Spain

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Intel•ligència artificial, Artificial intelligence, :Informàtica::Informàtica teórica [Àrees temàtiques de la UPC], Classificació AMS::68 Computer science::68T Artificial intelligence, :68 Computer science::68T Artificial intelligence [Classificació AMS], Àrees temàtiques de la UPC::Informàtica::Informàtica teórica

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