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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Brechmann, E.C., and Czado, C. 
Titel:
Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 
Abstract:
The demand for an accurate financial risk management involving larger numbers of assets is strong not only in view of the financial crisis of 2007-2009. In particular dependencies among assets have not been captured adequately. While standard multivariate copulas have added some flexibility, this flexibility is insufficient in higher dimensional applications. Vine copulas can fill this gap by benefiting from the rich class of existing bivariate parametric copula families. Explo...    »
 
Stichworte:
CAPM, multivariate copula, regular vines, simplification, market risk, Value-at- Risk 
Zeitschriftentitel:
Statistics and Risk Modeling 
Jahr:
2013 
Band / Volume:
30 
Jahr / Monat:
2013-12 
Heft / Issue:
Seitenangaben Beitrag:
307–342 
Reviewed:
ja 
Sprache:
en 
Print-ISSN:
2193-1402 
E-ISSN:
2196-7040 
Hinweise:
Accepted 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text