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Value-at-Risk Modeling with Conditional Copulas in Euclidean Space Framework,
Auteur(s): Vini Yves Bernadin Loyara, Diakarya Barro
Auteur(s) tagués: LOYARA Vini Yves Bernadin
Renseignée par : LOYARA Vini Yves Bernadin
Résumé

This paper aims to establish an analytic relation between a time-varying conditional copula and the value at risk modeled by the underlying. Specically, under the asumption that the space is euclidean we use scalar product to clarify a link between the conditional copula varying with time and norms. It is then established a new expression on the geometric yield

Mots-clés

Copulas, Euclidean space, Scalar product, VaR

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