A Generalized Error Distribution Copula-based method for portfolios risk assessment

Roy Cerqueti, Massimiliano Giacalone and Demetrio Panarello

Physica A: Statistical Mechanics and its Applications, 2019, vol. 524, issue C, 687-695

Abstract: In this paper, we deal with the evaluation of Conditional Value-at-Risk in the framework of portfolio theory by using a modified Gaussian Copula – where the modification is obtained by introducing the Generalized Correlation Coefficient – and by assuming a Generalized Error Distribution with properly estimated shape parameter p for the returns of the considered risky assets. In so doing, we add to the connection between standard Copula theory and financial risk assessment. A comparison analysis of our findings with those obtainable through a standard Gaussian Copula-based procedure in a set of real data is also presented.

Keywords: Econophysics; Portfolio theory; Conditional Value-at-Risk; Gaussian Copula; Generalized Error Distribution; Generalized Correlation Coefficient (search for similar items in EconPapers)
JEL-codes: C16 G11 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:524:y:2019:i:c:p:687-695

DOI: 10.1016/j.physa.2019.04.077

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