Businesses Risks Aggregation with Copula

This paper provides explicit expression for the lower bound and the upper bound of the overall VaR of a portfolio of business units when the joint risks factors of each business unit follows a mixture of multivariate elliptic distributions with dynamic conditional correlation matrix. We use copula to measure the dependence between the profits and losses (P&Ls) of different business units in the portfolio.

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Year of publication:	2011
Authors:	Kamdem, Sadefo
Published in:	Journal of Quantitative Economics. - The Indian Econometric Society - TIES, ISSN 0971-1554. - Vol. 9.2011, July, 2, p. 58-72
Publisher:	The Indian Econometric Society - TIES
Subject:	Aggregation \| Capital allocation \| Copula \| Dynamic volatility \| Risk management \| CDF \| Elliptic distributions

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Extent:	application/pdf
Type of publication:	Article
Classification:	c18 ; G11 - Portfolio Choice ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010611981