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In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that...
Persistent link: https://www.econbiz.de/10014370410
, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail …
Persistent link: https://www.econbiz.de/10012805838
Grouped normal variance mixtures are a class of multivariate distributions that generalize classical normal variance mixtures such as the multivariate t distribution, by allowing different groups to have different (comonotone) mixing distributions. This allows one to better model risk factors...
Persistent link: https://www.econbiz.de/10012373086
This study used a researcher self-constructed corporate governance index as a proxy to measure the firm-level corporate governance compliance and disclosure with the 2002 Pakistani Code of Corporate Governance, to examine the relationship between corporate governance and cost of capital. We...
Persistent link: https://www.econbiz.de/10012373093
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-linear correlation dependence structure, (ii) Pareto tails to...
Persistent link: https://www.econbiz.de/10012127555
This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model´s parameters and in the computation of Value-at-Risk (VaR). Results...
Persistent link: https://www.econbiz.de/10012127765
Value-at-Risk (VaR) is a well-accepted risk metric in modern quantitative risk management (QRM). The classical Monte Carlo simulation (MCS) approach, denoted henceforth as the classical approach, assumes the independence of loss severity and loss frequency. In practice, this assumption does not...
Persistent link: https://www.econbiz.de/10011687895
Metaverses have been evolving following the popularity of blockchain technology. They build their own cryptocurrencies for transactions inside their platforms. These new cryptocurrencies are, however, still highly speculative, volatile, and risky, motivating us to manage their risk. In this...
Persistent link: https://www.econbiz.de/10014234332
Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmission mechanism across crypto markets and other...
Persistent link: https://www.econbiz.de/10014234393
Dependent Tail Value-at-Risk, abbreviated as DTVaR, is a copula-based extension of Tail Value-at-Risk (TVaR). This risk measure is an expectation of a target loss once the loss and its associated loss are above their respective quantiles but bounded above by their respective larger quantiles. In...
Persistent link: https://www.econbiz.de/10013363132