Estimación del riesgo mediante el ajuste de cópulas

Catalina Bolancé (), Montserrat Guillen and Alemar Padilla ()
Additional contact information
Catalina Bolancé: Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona
Alemar Padilla: Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona

No 2015-01, Working Papers from Universitat de Barcelona, UB Riskcenter

Abstract: Here is an example on how to calculate the risk of a portfolio using bivariate parametric copulas and Monte Carlo simulation. First, the parameter of the copula are estimated, then marginal distributions are fitted and value at risk (VaR) and tail value at risk (TVaR) are calculated.

Keywords: Dependence; copula; financial risk; Value-at-Risk; Tail Value-at-Risk (search for similar items in EconPapers)
Pages: 18 pages
Date: 2015-02
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.ub.edu/rfa/research/WP/UBriskcenterWP201501.pdf First version, 2015 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bak:wpaper:201501

Access Statistics for this paper

More papers in Working Papers from Universitat de Barcelona, UB Riskcenter Contact information at EDIRC.
Bibliographic data for series maintained by Montserrat Guillen ().