Logo image
Se connecter
Businesses Risks Aggregation with Copula
Article de revue   Avec comité de lecture

Businesses Risks Aggregation with Copula

Jules Sadefo-Kamdem
Journal of Quantitative Economics, Vol.9(2), pp.58-72
07/2011

Résumé

This paper provides explicit expression for the lower bound and the upper bound of the overall VaR of a portfolio of business units when the joint risks factors of each business unit follows a mixture of multivariate elliptic distributions with dynamic conditional correlation matrix. We use copula to measure the dependence between the profits and losses (P&Ls) of different business units in the portfolio.

Fichiers et liens (1)

url
Find in HALAfficher

Indicateurs

1 Consultations de la notice

Détails

Logo image