Preferences help
enabled [disable] Abstract
Number of results
2008 | 114 | 3 | 619-627
Article title

Bounds for Value at Risk for Multiasset Portfolios

Title variants
Languages of publication
The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for the detailed study of the tail behaviour of the multivariate copulas. In this paper we investigate the class of copulas being the weighted means of copulas having homogeneous lower tails. We show that having only such information on the structure of dependence of returns from assets is enough to get estimates on value at risk of the multiasset portfolio in terms of value at risk of one-asset portfolios.
  • Institute of Mathematics, University of Warsaw, Banacha 2, 02-097 Warszawa, Poland
  • 1. Basle Committee on Banking Supervision, Amendment to the Capital Accord to Incorporate Market Risks, Basle 1996
  • 2. Risk Metrics -- Technical Document, 1996, Morgan Guaranty Trust Company of New York
  • 3. CreditMetrics -- Technical Document, 1997, J.P. Morgan and Co. Incorporated
  • 4. H. Föllmer, A. Schied, Stochastic Finance. An Introduction in Discrete Time, de Gruyter 2004, p. 470
  • 5. P.J. Cumperayot, J. Danielsson, B.J. Jorgensen, C.G. de Vries, in: Measuring Risk in Complex Stochastic Systems, Eds. J. Franke, W. Härdle, G. Stahl, Lecture Notes in Statistics, Vol. 147, Springer, 2000, p. 257
  • 6. A.J. McNeil, in: Extremes and Integrated Risk Management, Ed. P. Embrechts, Risk Waters Group Ltd, 2000, p. 397
  • 7. F.M. Longin, in: Extremes and Integrated Risk Management, Ed. P. Embrechts, Risk Waters Group Ltd, 2000, p. 397
  • 8. P. Jackson, D.J. Maude, W. Perraudin, The Journal of Derivatives, Springer, 1997, p. 73
  • 9. G.C. Pflug, in: Probabilistic Constrained Optimization: Methodology and Applications, Ed. S. Uryasev, Kluwer Academic Publ., 2000, p. 320
  • 10. P. Jaworski, Acta Phys. Pol. B 37, 3005 (2006)
  • 11. P. Jaworski, Appl. Math. 33, 159 (2006)
  • 12. R.B. Nelsen, An Introduction to Copulas, Springer, 1999, p. 230
  • 13. U. Cherubini, E. Luciano, W. Vecchiato, Copula Methods in Finance, Wiley, 2004, p. 310
  • 14. C. Alsina, M. Frank, B. Schweizer, Associative Functions: Triangular Norms and Copulas, World Sci., 2006, p. 252
  • 15. P. Billingsley, Probability and Measure, Wiley, 1979, p. 600
  • 16. H. Joe, Multivariate Models and Dependence Concepts, Chapman and Hall, 1997, p. 424
  • 17. P. Embrechts, A. Höing, J. Alessandro, Finance Stoch. 7, 145 (2003)
  • 18. P. Embrechts, G. Puccetti, Finance Stoch. 10, 341 (2006)
  • 19. P. Jaworski, Acta Phys. Pol. B 36, 2575 (2005)
  • 20. P. Jaworski, in: Proc. 5th EUSFLAT Conf., Ostrava (Czech Republic) 2007, Eds. M. Stepnicka, V. Novak, U. Bodenhofer, University of Ostrava, 2007, Vol. 1, p. 500
  • 21. P. Jaworski, Appl. Math. 31, 397 (2004)
Document Type
Publication order reference
YADDA identifier
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.