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New Prospects on Vines

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  • Dominique Guegan

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

  • Pierre-André Maugis

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

Abstract

In this paper, we present a new methodology based on vine copulas to estimate multivariate distributions in high dimensions, taking advantage of the diversity of vine copulas. Considering the huge number of vine copulas in dimension n, we introduce an efficient selection algorithm to build and select vine copulas with respect to any test T. Our methodology offers a great flexibility to practitioners to compute VaR associated to a portfolio in high dimension.

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Bibliographic Info

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00348884.

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Date of creation: Mar 2010
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Handle: RePEc:hal:cesptp:halshs-00348884

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Related research

Keywords: Vine copulas; multivariate copulas; model selection; VaR.;

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Cited by:
  1. Dominique Guegan & Bertrand Hassani, 2011. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 11017r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2012.
  2. Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, School of Economics and Management, University of Aarhus.
  3. Dominique Guegan & Bertrand K. Hassani, 2011. "Operational risk: A Basel II++ step before Basel III," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 11053rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2012.
  4. repec:hal:journl:halshs-00645799 is not listed on IDEAS
  5. Dominique Guegan & Pierre-André Maugis, 2011. "An econometric Study for Vine Copulas," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00645799, HAL.
  6. repec:hal:wpaper:halshs-00722029 is not listed on IDEAS
  7. Dominique Guegan & Bertrand K Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 14006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  8. repec:hal:journl:halshs-00639484 is not listed on IDEAS
  9. Dominique Guegan, 2010. "Value at Risk Computation in a Non-Stationary Setting," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00511995, HAL.
  10. Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-01020293, HAL.

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