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Businesses Risks Aggregation with Copula


  • Sadefo Kamdem

    () (Universite de Montpellier 1, Lameta – CNRS UMR 5474)


This 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.

Suggested Citation

  • Sadefo Kamdem, 2011. "Businesses Risks Aggregation with Copula," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(2), pages 58-72, July.
  • Handle: RePEc:jqe:jqenew:v:9:y:2011:i:2:p:58-72

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    1. repec:wsi:ijtafx:v:08:y:2005:i:05:n:s0219024905003104 is not listed on IDEAS
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    More about this item


    Aggregation; Capital allocation; Copula; Dynamic volatility; Risk management; CDF; Elliptic distributions;

    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


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