A Versatile Copula and Its Application to Risk Measures

This paper proposes a copula that has versatile properties. We apply grouped t and versatile t copulas to estimate Value at Risk and expected shortfall using a sample of firms in the US property-liability insurance industry. We perform goodness-of-fit tests to assess the adequacy of the copula models selected. We find that a versatile copula is effective in estimating dependence structures of non-homogeneous multivariate risks.

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Year of publication:	2010
Authors:	Shim, Jeungbo ; Lee, Eun-Joo ; Lee, Seung-Hwan
Published in:	International Journal of Business and Economics. - College of Business, ISSN 1607-0704. - Vol. 9.2010, 3, p. 213-231
Publisher:	College of Business
Subject:	dependence structure \| versatility \| grouped t copula \| value at risk

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	C00 - Mathematical and Quantitative Methods. General ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

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