A Generalized Error Distribution Copula-based method for portfolios risk assessment

Roy Cerqueti

doi:10.1016/j.physa.2019.04.077

A Generalized Error Distribution Copula-based method for portfolios risk assessment

Roy Cerqueti

Research output: Contribution to journal › Article › peer-review

19 Citations (Scopus)

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 Generalized Error Distribution with properly estimated shape parameter for the returns 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.

Original language	English
Pages (from-to)	687-695
Journal	Physica A: Statistical Mechanics and its Applications
DOIs	https://doi.org/10.1016/j.physa.2019.04.077
Publication status	Published - Jun 2019
Externally published	Yes

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title = "A Generalized Error Distribution Copula-based method for portfolios risk assessment",

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 Generalized Error Distribution with properly estimated shape parameter for the returns 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.",

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AB - 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 Generalized Error Distribution with properly estimated shape parameter for the returns 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.

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DO - 10.1016/j.physa.2019.04.077

M3 - Article

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EP - 695

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

ER -

A Generalized Error Distribution Copula-based method for portfolios risk assessment

Abstract

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