Abstract
The capital requirement from financial institutions is based on the amount of risk carried in their portfolios.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Bouyé, E., Durrleman, V., Nikeghbali, A., Riboulet, G., & Roncalli, T. (2000). Copulas for finance. a reading guide and some applications. Groupe de Recherche Opérationnelle Crédit Lyonnais.
Chen, X., & Fan, Y. (2006a). Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Journal of Econometrics, 135, 125–154.
Chen, X., & Fan, Y. (2006b). Estimation of copula-based semiparametric time series models. Journal of Econometrics, 130, 307–335.
Chen, X., Fan, Y., & Tsyrennikov, V. (2004). Efficient estimation of semiparametric multivariate copula models. working paper.
Clayton, D. G. (1978). A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence. Biometrika, 65, 141–151.
Deutsch, H., & Eller, R. (1999). Derivatives and internal models. Macmillan Press.
Devroye, L. (1986). Non-uniform random variate generation. New York: Springer-Verlag.
Embrechts, P., Frey, R., & McNeil, A. (2005). Quantitative risk management: concepts, techniques and tools. Princeton: Princeton University Press.
Embrechts, P., McNeil, A., & Straumann, D. (1999b). Correlation: Pitfalls and alternatives. RISK, May, 69–71.
Frank, M. J. (1979). On the simultaneous associativity of f(x, y) and x + y − f(x, y). Aequationes Mathematicae, 19, 194–226.
Genest, C., & Rivest, L.-P. (1989). A characterization of Gumbel family of extreme value distributions. Statistics and Probability Letters, 8, 207–211.
Giacomini, E., & Härdle, W. (2005). Value-at-risk calculations with time varying copulae. In Proceedings 55th International Statistical Institute, Sydney 2005.
Gumbel, E. J. (1960). Distributions des valeurs extrêmes en plusieurs dimensions. Publ. Inst. Statist. Univ. Paris, 9, 171–173.
Hoeffding, W. (1940). Masstabinvariante Korrelationstheorie. Schriften des Mathematischen Instituts und des Instituts für Angewandte Mathematik der Universität Berlin, 5(3), 179–233.
Hoeffding, W. (1941). Masstabinvariante Korrelationsmasse für diskontinuierliche Verteilungen. Archiv für die mathematische Wirtschafts- und Sozialforschung, 7, 49–70.
Joe, H. (1996). Families of m-variate distributions with given margins and m(m − 1)∕2 bivariate dependence parameters. In L. Rüschendorf, B. Schweizer, & M. Taylor (Eds.), Distribution with fixed marginals and related topics. IMS Lecture Notes – Monograph Series. Institute of Mathematical Statistics.
Joe, H. (1997). Multivariate models and dependence concepts. London: Chapman and Hall.
Joe, H., & Xu, J. J. (1996). The estimation method of inference functions for margins for multivariate models. Technical Report 166, Department of Statistics, University of British Columbia.
Morillas, P. M. (2005). A method to obtain new copulas from a given one. Metrika, 61, 169–184.
Nelsen, R. B. (2006). An introduction to copulas. New York: Springer-Verlag.
Okhrin, O., Okhrin, Y., & Schmid, W. (2013a). On the structure and estimation of hierarchical Archimedean copulas. J.Econometrics, 173(2), 21–53.
Okhrin, O., Okhrin, Y., & Schmid, W. (2013b). Properties of the hierarchical Archimedean copulas. Statistics and Risk Modeling, 30(1), 189–204.
Savu, C., & Trede, M. (2010). Hierarchies of archimedean copulas. Quantitative Finance, 10, 295–304.
Sklar, A. (1959). Fonctions de répartition à n dimensions et leurs marges. Publ. Inst. Statist. Univ. Paris, 8, 229–231.
Whelan, N. (2004). Sampling from Archimedean copulas. Quantitative Finance, 4, 339–352.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2019 Springer Nature Switzerland AG
About this chapter
Cite this chapter
Franke, J., Härdle, W.K., Hafner, C.M. (2019). Copulae and Value-at-Risk. In: Statistics of Financial Markets. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-030-13751-9_17
Download citation
DOI: https://doi.org/10.1007/978-3-030-13751-9_17
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-13750-2
Online ISBN: 978-3-030-13751-9
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)