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Archimedean-Copula-Based Models in Financial Risk Management
- Estimating and Evaluating
Qing Xu
Livre broché | Anglais
58,45 €
+ 116 points
Description
Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk.
Spécifications
Parties prenantes
- Auteur(s) :
- Editeur:
Contenu
- Nombre de pages :
- 152
- Langue:
- Anglais
Caractéristiques
- EAN:
- 9783838302935
- Date de parution :
- 14-06-09
- Format:
- Livre broché
- Format numérique:
- Trade paperback (VS)
- Dimensions :
- 152 mm x 229 mm
- Poids :
- 231 g
