User: Guest  Login
Title:

Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50

Document type:
Zeitschriftenaufsatz
Author(s):
Brechmann, E.C., and Czado, C.
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. Exploiting...     »
Keywords:
CAPM, multivariate copula, regular vines, simplification, market risk, Value-at- Risk
Journal title:
Statistics and Risk Modeling
Year:
2013
Journal volume:
30
Year / month:
2013-12
Journal issue:
4
Pages contribution:
307–342
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi: 10.1524/strm.2013.2002
WWW:
http://www.degruyter.com/view/j/strm.2013.30.issue-4/strm-2013-2002/strm-2013-2002.xml?format=INT
Print-ISSN:
2193-1402
E-ISSN:
2196-7040
Notes:
Accepted
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX