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EnglishIn this paper, we deal with the evaluation of Conditional Value-at-Risk in the framework of portfolio theory by using a modified Gaussian Copula – where the modification is obtained by introducing the Generalized Correlation Coefficient – and by assuming a GeneralizedErrorDistributionwithproperlyestimatedshapeparameterpforthereturns of the considered risky assets. In so doing, we add to the connection between standard Copula theory and financial risk assessment. A comparison analysis of our findings with those obtainable through a standard Gaussian Copula-based procedure in a set of real data is also presented.
| Titolo: | A Generalized Error Distribution Copula-based method for portfolios risk assessment | |
| Autori: | ||
| Data di pubblicazione: | 2019 | |
| Rivista: | ||
| Abstract: | In this paper, we deal with the evaluation of Conditional Value-at-Risk in the framework of portfolio theory by using a modified Gaussian Copula – where the modification is obtained by introducing the Generalized Correlation Coefficient – and by assuming a GeneralizedErrorDistributionwithproperlyestimatedshapeparameterpforthereturns of the considered risky assets. In so doing, we add to the connection between standard Copula theory and financial risk assessment. A comparison analysis of our findings with those obtainable through a standard Gaussian Copula-based procedure in a set of real data is also presented. | |
| Handle: | http://hdl.handle.net/11588/752291 | |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
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|---|---|---|---|---|
| PHYSICA A+ATTR.pdf | Documento in Post-print | Accesso privato/ristretto | Administrator Richiedi una copia |
http://hdl.handle.net/11588/752291
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