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Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH

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Listed:
  • Aryan Singh
  • Paul O Reilly
  • Daim Sharif
  • Patrick Haughey
  • Eoghan McCarthy
  • Sathvika Thorali Suresh
  • Aakhil Anvar
  • Adarsh Sajeev Kumar

Abstract

A multivariate risk analysis for VaR and CVaR using different copula families is performed on historical financial time series fitted with DCC-GARCH models. A theoretical background is provided alongside a comparison of goodness-of-fit across different copula families to estimate the validity and effectiveness of approaches discussed.

Suggested Citation

  • Aryan Singh & Paul O Reilly & Daim Sharif & Patrick Haughey & Eoghan McCarthy & Sathvika Thorali Suresh & Aakhil Anvar & Adarsh Sajeev Kumar, 2025. "Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH," Papers 2505.06950, arXiv.org.
    • Handle: RePEc:arx:papers:2505.06950
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    References listed on IDEAS

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    6. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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