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Estimación del riesgo mediante el ajuste de cópulas

Author

Listed:
  • 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)

Abstract

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.

Suggested Citation

  • Catalina Bolancé & Montserrat Guillén & Alemar Padilla, 2015. "Estimación del riesgo mediante el ajuste de cópulas," Working Papers 2015-01, Universitat de Barcelona, UB Riskcenter.
  • Handle: RePEc:bak:wpaper:201501
    as

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    File URL: http://www.ub.edu/rfa/research/WP/UBriskcenterWP201501.pdf
    File Function: First version, 2015
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    References listed on IDEAS

    as
    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. 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, June.
    3. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    4. Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265, HAL.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Manuela Alcañiz & Aïda Solé-Auró, 2017. "Ageing and health-related quality of life: evidence from Catalonia (Spain)," Working Papers 2018-01, Universitat de Barcelona, UB Riskcenter.
    2. Estefanía Alaminos & Mercedes Ayuso, 2015. "Methodological Approach of a Multiple State Actuarial Model for the Married - Widower case for the assessment of retirement and widowhood pensions," Working Papers 2015-04, Universitat de Barcelona, UB Riskcenter.

    More about this item

    Keywords

    Dependence; copula; financial risk; Value-at-Risk; Tail Value-at-Risk;

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