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

Mario V. Wüthrich

ASTIN Bulletin, 2003, vol. 33, issue 1, 75-92

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.

Date: 2003
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