One of the most important issues in finance is to correctly measure the risk profile of a portfolio, which is fundamental to take optimal decisions on the capital allocation. In this paper, we deal with the evaluation of portfolio’s Conditional Value-at-Risk (CVaR) using a modified Gaussian Copula, where the correlation coefficient is replaced by a generalization of it, obtained as the correlation parameter ofabivariateGeneralizedErrorDistribution(G.E.D.).Wepresentanalgorithmwith the aim of verifying the performance of the G.E.D. method over the classical RiskMetrics one, resulting in higher performance of the G.E.D. method.
A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation
Giacalone M.;
2018
Abstract
One of the most important issues in finance is to correctly measure the risk profile of a portfolio, which is fundamental to take optimal decisions on the capital allocation. In this paper, we deal with the evaluation of portfolio’s Conditional Value-at-Risk (CVaR) using a modified Gaussian Copula, where the correlation coefficient is replaced by a generalization of it, obtained as the correlation parameter ofabivariateGeneralizedErrorDistribution(G.E.D.).Wepresentanalgorithmwith the aim of verifying the performance of the G.E.D. method over the classical RiskMetrics one, resulting in higher performance of the G.E.D. method.File in questo prodotto:
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