Work

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

Year: 2003

Type: article

Abstract: 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.

Source: Astin Bulletin

DOI: 10.1017/s0515036100013313

Author: Mario V. Wüthrich

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2152939752

FWCI: 3.02

Cites: 16

Cited by: 44

Related to: 10