Pair Copula Construction based Expected Shortfall estimation

Marcelo Righi () and Paulo Ceretta ()
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Paulo Ceretta: Federal University of Santa Maria

Economics Bulletin, 2013, vol. 33, issue 2, 1067-1072

Abstract: In this note we present an algorithm for portfolio ES estimation through Pair Copula Construction. The advantages of this method are the flexibility in what dependence structure is determined, as well as the simplicity of simulation procedures. We illustrate our approach with a brief empirical application with international market indices during a crisis period, comparing with other techniques which are largely applied.

JEL-codes: C4 C6 (search for similar items in EconPapers)
Date: 2013-04-18
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Citations: View citations in EconPapers (3)

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