Study on Measures of Dependence Conditional Risk Based-on Copulas in Financial Portfolio

Study on Measures of Dependence Conditional Risk Based-on Copulas in Financial Portfolio

Copulas have become a powerful tool for modeling the dependence structure of financial data and preferable to the traditional, correlation-based approach. This paper concerns the application of copula functions in VaR and conditional VaR valuation. Some measures of dependence risks are proposed in s...

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Bibliographische Detailangaben
Hauptverfasser: Yi, Wen-de, Huang, Ai-hua
Format: Tagungsbericht
Sprache:eng
Schlagworte:
Application software
Conditional dependence risk
Conditional probability
Copula
Distributed computing
Finance
Financial management
Gaussian distribution
Information technology
Portfolio
Portfolios
Reactive power
Risk management
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Beschreibung
Zusammenfassung:Copulas have become a powerful tool for modeling the dependence structure of financial data and preferable to the traditional, correlation-based approach. This paper concerns the application of copula functions in VaR and conditional VaR valuation. Some measures of dependence risks are proposed in studying financial portfoliopsilas risk. We investigate the relations between the dependence risk measure and copula function, and find that the choice of copula will effect on the degree of dependence risk in portfolio.
DOI:10.1109/FITME.2008.131