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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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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creator	Yi, Wen-de Huang, Ai-hua
description	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_str_mv	10.1109/FITME.2008.131
format	Conference Proceeding
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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. 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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.</description><subject>Application software</subject><subject>Conditional dependence risk</subject><subject>Conditional probability</subject><subject>Copula</subject><subject>Distributed computing</subject><subject>Finance</subject><subject>Financial management</subject><subject>Gaussian distribution</subject><subject>Information technology</subject><subject>Portfolio</subject><subject>Portfolios</subject><subject>Reactive power</subject><subject>Risk management</subject><isbn>0769534805</isbn><isbn>9780769534800</isbn><fulltext>true</fulltext><rsrctype>conference_proceeding</rsrctype><creationdate>2008</creationdate><recordtype>conference_proceeding</recordtype><sourceid>6IE</sourceid><sourceid>RIE</sourceid><recordid>eNotj0FLwzAYhgMy0M1dvXjJH2j9sjRNctS6zcGGohO8jbT5AtGalKY97N9b0dMLL8_zwkvIDYOcMdB3m93xsM5XACpnnF2QOchSC14oEDMy_-01KA7lJVmm9AkATJdyIq_Ix9sw2jONgR7QpLHHRKOjj9hhsBgapFUM1g8-BtPSV5--6INJaLNJqGI3tiZRH-jGBxMaPyEvsR9cbH28JjNn2oTL_1yQ9836WD1l--ftrrrfZ55JMWRC2JVmJTheo0amHCjh0AiBmkvtDAjNtGO1VTU2qBUXJa8VbxCdAKwlX5Dbv12PiKeu99-mP58KWZTF9PAHqnhR-Q</recordid><startdate>200811</startdate><enddate>200811</enddate><creator>Yi, Wen-de</creator><creator>Huang, Ai-hua</creator><general>IEEE</general><scope>6IE</scope><scope>6IL</scope><scope>CBEJK</scope><scope>RIE</scope><scope>RIL</scope></search><sort><creationdate>200811</creationdate><title>Study on Measures of Dependence Conditional Risk Based-on Copulas in Financial Portfolio</title><author>Yi, Wen-de ; Huang, Ai-hua</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-i175t-55d29160f3be9e18f085fea55e9379fa05919f1bd8bece983563b83ceef50eb73</frbrgroupid><rsrctype>conference_proceedings</rsrctype><prefilter>conference_proceedings</prefilter><language>eng</language><creationdate>2008</creationdate><topic>Application software</topic><topic>Conditional dependence risk</topic><topic>Conditional probability</topic><topic>Copula</topic><topic>Distributed computing</topic><topic>Finance</topic><topic>Financial management</topic><topic>Gaussian distribution</topic><topic>Information technology</topic><topic>Portfolio</topic><topic>Portfolios</topic><topic>Reactive power</topic><topic>Risk management</topic><toplevel>online_resources</toplevel><creatorcontrib>Yi, Wen-de</creatorcontrib><creatorcontrib>Huang, Ai-hua</creatorcontrib><collection>IEEE Electronic Library (IEL) Conference Proceedings</collection><collection>IEEE Proceedings Order Plan All Online (POP All Online) 1998-present by volume</collection><collection>IEEE Xplore All Conference Proceedings</collection><collection>IEEE Electronic Library (IEL)</collection><collection>IEEE Proceedings Order Plans (POP All) 1998-Present</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Yi, Wen-de</au><au>Huang, Ai-hua</au><format>book</format><genre>proceeding</genre><ristype>CONF</ristype><atitle>Study on Measures of Dependence Conditional Risk Based-on Copulas in Financial Portfolio</atitle><btitle>2008 International Seminar on Future Information Technology and Management Engineering</btitle><stitle>FITME</stitle><date>2008-11</date><risdate>2008</risdate><spage>187</spage><epage>191</epage><pages>187-191</pages><isbn>0769534805</isbn><isbn>9780769534800</isbn><abstract>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.</abstract><pub>IEEE</pub><doi>10.1109/FITME.2008.131</doi><tpages>5</tpages></addata></record>
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subjects	Application software Conditional dependence risk Conditional probability Copula Distributed computing Finance Financial management Gaussian distribution Information technology Portfolio Portfolios Reactive power Risk management
title	Study on Measures of Dependence Conditional Risk Based-on Copulas in Financial Portfolio
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