Businesses Risks Aggregation with Copula
AbstractThis paper provides explicit expression for the lower bound and the upper bound of the overall VaR of a portfolio of business units when the joint risks factors of each business unit follows a mixture of multivariate elliptic distributions with dynamic conditional correlation matrix. We use copula to measure the dependence between the profits and losses (P&Ls) of different business units in the portfolio.
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Bibliographic InfoArticle provided by The Indian Econometric Society in its journal Journal of Quantitative Economics.
Volume (Year): 9 (2011)
Issue (Month): 2 (July)
Postal: Managing Editor, Journal of Quantitative Economics, Indira Gandhi Institute of Development Research (IGIDR), Gen. A.K. Vaidya Marg, Goregaon (E), Mumbai 400 065 , INDIA
Find related papers by JEL classification:
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jules Sadefo Kamdem, 2005. "Value-At-Risk And Expected Shortfall For Linear Portfolios With Elliptically Distributed Risk Factors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(05), pages 537-551.
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