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Estimación del riesgo mediante el ajuste de cópulas

Listed author(s):
  • Catalina Bolancé

    ()

    (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)

  • Montserrat Guillén

    ()

    (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)

  • Alemar Padilla

    ()

    (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)

Here is an example on how to calculate the risk of a portfolio using bivariate parametric copulas and Monte Carlo simulation. First, the parameter of the copula are estimated, then marginal distributions are fitted and value at risk (VaR) and tail value at risk (TVaR) are calculated.

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File URL: http://www.ub.edu/rfa/research/WP/UBriskcenterWP201501.pdf
File Function: First version, 2015
Download Restriction: no

Paper provided by Universitat de Barcelona, UB Riskcenter in its series Working Papers with number 2015-01.

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Length: 18 pages
Date of creation: Feb 2015
Handle: RePEc:bak:wpaper:201501
Contact details of provider: Postal:
Av. Diagonal 690, 08034 Barcelona

Phone: 934021824
Fax: 934021821
Web page: http://www.ub.edu/riskcenter/
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  1. Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik, 2009. "Pair-copula constructions of multiple dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 182-198, April.
  2. Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265, HAL.
  3. Bolancé, Catalina & Bahraoui, Zuhair & Artís, Manuel, 2014. "Quantifying the risk using copulae with nonparametric marginals," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 46-56.
  4. Bermúdez, Lluís & Ferri, Antoni & Guillén, Montserrat, 2013. "A Correlation Sensitivity Analysis of Non-Life Underwriting Risk in Solvency Capital Requirement Estimation," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 43(01), pages 21-37, January.
  5. Steffen Grønneberg & Nils Lid Hjort, 2014. "The Copula Information Criteria," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 436-459, 06.
  6. Bargès, Mathieu & Cossette, Hélène & Marceau, Étienne, 2009. "TVaR-based capital allocation with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 348-361, December.
  7. Alemany, Ramon & Bolancé, Catalina & Guillén, Montserrat, 2013. "A nonparametric approach to calculating value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 255-262.
  8. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
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