Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula,
Lien de l'article:
https://doi.org/10.1155/2020/6802932
Auteur(s):
Vini Yves Bernadin Loyara; Remi Guillaume Bagré; Diakarya Barro
Auteur(s) tagués:
Vini Yves Bernadin LOYARA ;
Résumé
The aim of this paper is to provide an approximation of the value-at-risk of the multivariate copula associated with financial loss and profit function. A higher dimensional extension of the Taylor–Young formula is used for this estimation in a Euclidean space. Moreover, a time-varying and conditional copula is used for the modeling of the VaR.
Mots-clés
Copules Estimation Taylor-Young VaR