Using copulae to bound the Value-at-Risk for functions of dependent risks

By Paul Embrechts, A. Höing, Alessandro Juri. Finance and Stochastics, 2003

337 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/11bd4f1165d85766021ddd69f38609c7f3f2a59f

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Citations in the corpus

Quantitative models for operational risk: Extremes, dependence and aggregation (2006, methodology): “As explained in Embrechts et al. (2003, 2004), whereas EVT is the natural set of statistical techniques for estimating high quantiles of a loss distribution, this can be done with sufficient accuracy only when the data satisfy specific conditions; we further need sufficient data to calibrate the…”
A Goodness-of-fit Test for Copulas (2014, methodology): “They have been used extensively in applications in finance (e.g., Patton, 2006; Breymann et al., 2003), in risk management (e.g., Embrechts et al., 2003, 2002) and in health and labor economics (Smith, 2003; Cameron et al., 2004).”
Estimation of Copula Models for Time Series of Possibly Different Length (2001, neutral): “N ́ 2 (6)64 nx ¢ Ip 0 0 0 ny ¢ Iq 0 0 0 nc ¢ Ir 3 (7)75 , (18)”
Granger-causality in quantiles between financial markets: Using copula approach ☆ (2014, background): “If Xt does not Granger-cause yt + 1 in distribution, qα Yt F t j Þ 1⁄4 ð qα Yt jGt ð Þ since gtþ1 yjXt ;Gt ð Þ 1⁄4 gtþ1 yjGt ð Þ . Therefore, non-Grangercausality in distribution (NGCD) implies non-Granger-causality in conditional quantile (NGCQ). However, GCD does not necessarily imply GC in eachqu”
Copula Methods for Forecasting Multivariate Time Series (2013, methodology): “When using the GAS model, see equation (53), a constant copula is obtained when = 0; but this leaves unidentied.”
Estimation of Copula-Based Semiparametric Time Series Models (2006, background): “Because of this flexibility, copulas have gained popularity in the finance and insurance community(3) in the past few years, where modeling and estimating the dependence structure between several univariate time series are of great interest; see Frees and Valdez (1998) and Embrechts et al. (2002) fo”
Model uncertainty and VaR aggregation (2013, background): “Under the addition of a positive dependence restriction, VaR bounds for the sum of risks have been derived in Theorem 3.1 in Embrechts et al. (2003); see also Embrechts et al. (2005), Mesfioui and Quessy (2005), Rüschendorf (2005), and Puccetti and Rüschendorf (2012b).”
A review of copula models for economic time series (2012, background): “[49] and Embrechts and Hoing [48] study the VaR of portfolios.”
Bounds for joint portfolios of dependent risks (2012, methodology): “The bounds in (1.2) have been extended to d ≥ 3 (see Frank et al. (1987); Denuit et al. (1999); Embrechts et al. (2003); [Rü] (2005)) and yield the so called standard bounds.”
Comparison of multivariate risks and positive dependence (2004, background): “In a large number of recent papers it has been shown that the methods and tools of stochastic ordering and construction of probabilities with given marginals are of relevance for the modelling of multivariate portfolios and bounding functions of dependent risks, such as the value at risk, the expect”
Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution (2007, background): “The transformation of returns to Gaussianity is important since as recently shown by Embrechts et al. (2003), the use of correlation as a measure of dependence can be misdealing in the case of (conditionally) non-Gaussian returns.”
Likelihood Based Estimation in a Panel Setting: Robustness, Redundancy and Validity of Copulas (2009, methodology): “Most uses of copulas in economics and related fields have used the “converse” part of Sklar’s theorem. That is, you have a set of marginal cdf’s F1, . . . , FT implied by some model, but you want a joint cdf H. So you pick a copula and it generates a joint cdf consistent with the marginals. Lee (198”
The Advent of Copulas in Finance (2009, neutral): “The paper of Embrechts, Hoing, and Juri (2003) provides an early example of VaR studies using copulas.”