Value at Risk of portfolios using copulas-Reference-Cited by-同舟云学术

Value at Risk of portfolios using copulas

Published:2021-01-31 Issue:1 Volume:28 Page:59-79
ISSN:2383-4757
Container-title:Communications for Statistical Applications and Methods
language:en
Short-container-title:CSAM

Author:

Byun Kiwoong¹,Song Seongjoo²

Affiliation:

1. Department of Business and Administration, Korea University, Korea

2. Department of Statistics, Korea University, Korea

Publisher

Communications for Statistical Applications and Methods

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Finance,Modeling and Simulation,Statistics and Probability

Reference34 articles.

1. Risk estimation using the multivariate normal inverse Gaussian distribution

2. Aas K, Czado C, Frigessi A, and Bakken H (2009). Pair-copula constructions of multiple dependence. <italic>Insurance: Mathematics and Economics</italic>, <bold>44</bold>, 182-198.

3. Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

4. Lévy Processes

5. Bølviken E and Benth FE (2000). Quantification of risk in Norwegian stocks via the normal inverse Gaussian distribution. <italic>Proceedings of the AFIR 2000 Colloquium</italic> Tromsø, Norway. <italic></italic> <bold></bold>, 87-98.

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