Value-At-Risk Trade-Off and Capital Allocation with Copulas

By Umberto Cherubini, Elisa Luciano. 2001

89 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/78287e5496dc15d2bc65d1856a9a220bfcd78b3d

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Citations in the corpus

Copula-Based Models for Financial Time Series (2009, background): “Cherubini and Luciano (2001), Embrechts, et al. (2003) and Embrechts and Höing (2006) study the VaR of portfolios using copula methods.”
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula (2001, unknown): “= 3 1 ¡ Xj¡1 i=1 1⁄4it ́ ¢ ¤ Ã ̧j ¡ Zjt; ̄j ¢ ¡ ln " 1 ¡ji=1 pit pjt #! ; for j = 2; :::; K (15) 1⁄4t = 1 ¡ XK j=1 1⁄4jt (16)”
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a (2006, background): “5 See Frees et al. (1996), Bouyé et al. (2000a, 2000b), Cherubini and Luciano (2001, 2002), Costinot et al. (2000), Li (2000), Fermanian and Scaillet (2003), Embrechts et al. (2001), Granger et al. (forthcoming), Frey and McNeil (2001), Rockinger and Jondeau (2001), Sancetta and Satchell (2001),…”
Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates (2004, background): “…include Hull and White (1998), Rosenberg (2003), Costinot, et al. (2000), Li (2000), Frey and McNeil (2001), Schonbucher and Schubert (2001), Cherubini and Luciano (2001, 2002), Duan (2002), Hu (2002), Junker and May (2002), Mashal and Zeevi (2002), Patton (2002a, b, 2004), Rockinger and…”
Using Conditional Copula to Estimate Value at Risk (2004, methodology): “For instance, Cherubini and Luciano (2001) estimated the VaR using the Archimedean copula family and the historical empirical distribution in the estimation of marginal distributions; Rockinger and Jondeau (2001) used the Plackett copula with GARCH process with innovations modeled by the Student-t…”
Copula Methods for Forecasting Multivariate Time Series (2013, background): “"itjFt 1 s Fi ( jZt 1; ) (30) or "itjFt 1 s iid Fi (31)”
A review of copula models for economic time series (2012, background): “Hull andWhite [94], Cherubini and Luciano [31], Embrechtset al.”