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 p 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.
A Generalized Error Distribution Copula-based method for portfolios risk assessment / Cerqueti R.; Giacalone M.; Panarello D.. - In: PHYSICA. A. - ISSN 0378-4371. - STAMPA. - 524:(2019), pp. 687-695. [10.1016/j.physa.2019.04.077]
A Generalized Error Distribution Copula-based method for portfolios risk assessment
Giacalone M.;Panarello D.
2019
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 p 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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
