MULTIVARIATE RISKS MODELING FOR FINANCIAL PORTFOLIO MANAGEMENT AND CLIMATE APPLICATIONS,
Lien de l'article:
http://dx.doi.org/10.17654/MS101040909
Auteur(s):
Yves Bernadin Vini Loyara, Remi Guillaume Bagré and Diakarya Barro
Auteur(s) tagués:
Vini Yves Bernadin LOYARA ;
Résumé
This paper investigates some properties of derivative measures of the Value at Risk (VaR) of random variables modeling the stochastic behavior of a portfolio asset. Specifically, coherentness and convex properties of the conditional, the tail VaR and the standard deviation are established. Moreover, a new version of high risk scenario is characterized and bivariate densities are modeled via copula approach.
Mots-clés
risk management Value at Risk copulas extreme values distribution Pareto distributions