In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value …-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

(DPFS) using clustering analysis, and copula-based parametric modeling of frequency and severity (CPFS). These two …

results show that a mixture of copulas can provide a better fit to the data than an individual copula and consequently avoid …

, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR …

Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the … investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of … “boom” or “bust”. Bivariate copula modelling has a rich variety of copulas that may be chosen to represent the modelled …

total risk. Third, we estimate and compare alternative established frameworks for risk aggregation (including copula models … implementing a simple non-parametric methodology (empirical copula simulation- ECS) in order to quantify integrated risk, in that … relative to the standard Gaussian copula simulation (GCS), while the variance-covariance approximation (VCA) is much lower. ECS …