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VaR Estimation with Multiple Copula Functions
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 Title & Authors
VaR Estimation with Multiple Copula Functions
Hong, Chong-Sun; Lee, Won-Yong;
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 Abstract
VaR(Value at risk) is a measure of market risk management and needs to be estimated for multiple distributions. In this paper, Copula functions are used to generate distributions of multivariate random variables. The dependence structure of random variables is classified by the exchangeable Copula, fully nested Copula, partially nested Copula. For the earning rate data of four Korean industries, the parameters of the Archimedean Copula functions including Clayton, Gumbel and Frank Copula are estimated by using three kinds of dependence structure. These Copula functions are then fitted to to the data so that corresponding VaR are obtained and explored.
 Keywords
Dependence;earning rate;generator;multivariate;risk;
 Language
Korean
 Cited by
1.
Vector at Risk and alternative Value at Risk, Korean Journal of Applied Statistics, 2016, 29, 4, 689  crossref(new windwow)
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