In this paper, we deal with the evaluation of Conditional Value-at-Risk in the framework of portfolio theory by using a modified Gaussian Copula – where the modification is obtained by introducing the Generalized Correlation Coefficient – and by assuming a GeneralizedErrorDistributionwithproperlyestimatedshapeparameterpforthereturns of the considered risky assets. In so doing, we add to the connection between standard Copula theory and financial risk assessment. A comparison analysis of our findings with those obtainable through a standard Gaussian Copula-based procedure in a set of real data is also presented.
A Generalized Error Distribution Copula-based method for portfolios risk assessment
Massimiliano Giacalone;
2019
Abstract
In this paper, we deal with the evaluation of Conditional Value-at-Risk in the framework of portfolio theory by using a modified Gaussian Copula – where the modification is obtained by introducing the Generalized Correlation Coefficient – and by assuming a GeneralizedErrorDistributionwithproperlyestimatedshapeparameterpforthereturns of the considered risky assets. In so doing, we add to the connection between standard Copula theory and financial risk assessment. A comparison analysis of our findings with those obtainable through a standard Gaussian Copula-based procedure in a set of real data is also presented.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
