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

Keyphrases

• Risk Assessment 100%
• Copula Method 100%
• Gaussian Copula 100%
• Portfolio Risk 100%
• Generalized Error Distribution 100%
• Comparative Analysis 50%
• At-risk 50%
• Risky Assets 50%
• Shape Parameter 50%
• Modified Gaussian 50%
• Portfolio Theory 50%
• Conditional Value 50%
• Generalized Correlation Coefficient 50%
• Financial Risk Assessment 50%
• Copula Theory 50%

Mathematics

• Gaussian Copula 100%
• Copula 100%
• Generalized Error 100%
• Error Distribution 100%
• Real Data 50%
• Shape Parameter 50%
• Conditional Value At Risk 50%
• correlation coefficient ρ 50%
• Risky Asset 50%
• Portfolio Theory 50%