Archimedean-Copula-Based Models in Financial Risk Management: - Estimating and Evaluating - Couverture souple

Xu, Qing

 
9783838302935: Archimedean-Copula-Based Models in Financial Risk Management: - Estimating and Evaluating
Couverture souple
ISBN 10 : 3838302931 ISBN 13 : 9783838302935
Editeur : LAP LAMBERT Academic Publishing, 2009

Synopsis

Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk.

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Présentation de l'éditeur

Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk.

Biographie de l'auteur

Dr. Qing Xu holds a PhD in Financial Economics from Massey University in Auckland, New Zealand. He is currently lecturer of finance at Auckland University of Technology. His research and teaching interests include financial modeling and risk management.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2009
Langue
anglais
ISBN 10 
3838302931
ISBN 13 
9783838302935
Reliure
Broché
Nombre de pages
152
Coordonnées du fabricant
non disponible
Personne responsable
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