Value at risk from the viewpoint of copulas Valor en riesgo desde un enfoque de cópulas
The value at risk _VaR_, is a measure that quantifies the risks faced by a given portfolio. There are some methods to calculate the VaR: historical simulation, Montecarlo simulation, parametric models and duration and convexity models, among others. To calculate the VaR is required to model the port...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad EAFIT
2009-12-01
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| Series: | AD-minister |
| Subjects: | |
| Online Access: | http://publicaciones.eafit.edu.co/index.php/administer/article/view/206 |