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http://dx.doi.org/10.5351/KJAS.2011.24.5.809

VaR Estimation with Multiple Copula Functions  

Hong, Chong-Sun (Department of Statistics, Sungkyunkwan University)
Lee, Won-Yong (Research Institute of Applied Statistics, Sungkyunkwan University)
Publication Information
The Korean Journal of Applied Statistics / v.24, no.5, 2011 , pp. 809-820 More about this Journal
Abstract
VaR(Value at risk) is a measure of market risk management and needs to be estimated for multiple distributions. In this paper, Copula functions are used to generate distributions of multivariate random variables. The dependence structure of random variables is classified by the exchangeable Copula, fully nested Copula, partially nested Copula. For the earning rate data of four Korean industries, the parameters of the Archimedean Copula functions including Clayton, Gumbel and Frank Copula are estimated by using three kinds of dependence structure. These Copula functions are then fitted to to the data so that corresponding VaR are obtained and explored.
Keywords
Dependence; earning rate; generator; multivariate; risk;
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Times Cited By KSCI : 3  (Citation Analysis)
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