scholarly journals Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables

2003 ◽  
Vol 33 (01) ◽  
pp. 75-92 ◽  
Author(s):  
Mario V. Wüthrich
Keyword(s):  
At Risk ◽  
Asymptotic Behaviour ◽  
Value At Risk ◽  
Random Variables ◽  
Important Application ◽  
Archimedean Copulas ◽  
Dependent Random Variables ◽  
Asymptotic Value ◽  
Risk Estimates

We estimate Value-at-Risk for sums of dependent random variables. We model multivariate dependent random variables using archimedean copulas. This structure allows one to calculate the asymptotic behaviour of extremal events. An important application of such results are Value-at-Risk estimates for sums of dependent random variables.

scholarly journals Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables

2003 ◽  
Vol 33 (1) ◽  
pp. 75-92 ◽  
Author(s):  
Mario V. Wüthrich
Keyword(s):  
At Risk ◽  
Asymptotic Behaviour ◽  
Value At Risk ◽  
Random Variables ◽  
Important Application ◽  
Archimedean Copulas ◽  
Dependent Random Variables ◽  
Asymptotic Value ◽  
Risk Estimates

We estimate Value-at-Risk for sums of dependent random variables. We model multivariate dependent random variables using archimedean copulas. This structure allows one to calculate the asymptotic behaviour of extremal events. An important application of such results are Value-at-Risk estimates for sums of dependent random variables.

Evaluating Value-at-Risk Estimates: A Cross-Section Approach

2007 ◽  
pp. 213-225
Author(s):  
Raffaele Zenti ◽  
Massimiliano Pallotta ◽  
Claudio Marsala
Keyword(s):  
At Risk ◽  
Cross Section ◽  
Value At Risk ◽  
Risk Estimates

scholarly journals Generating Volatility Forecasts from Value at Risk Estimates

2005 ◽  
Vol 51 (5) ◽  
pp. 712-725 ◽  
Author(s):  
James W. Taylor
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Estimates

Value at Risk Estimates for Brady Bond Portfolios

2000 ◽  
Vol 10 (3) ◽  
pp. 7-23 ◽  
Author(s):  
Ron D′Vari ◽  
Juan C. Sosa
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Estimates ◽  
Bond Portfolios

scholarly journals EMD Copula based Value at Risk Estimates for Electricity Markets

2015 ◽  
Vol 55 ◽  
pp. 1318-1324 ◽  
Author(s):  
Xuan Wang ◽  
Junling Cai ◽  
Kaijian He
Keyword(s):  
At Risk ◽  
Electricity Markets ◽  
Value At Risk ◽  
Risk Estimates
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