Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula

Vini Yves Bernadin Loyara, Remi Guillaume Bagré and Diakarya Barro

International Journal of Mathematics and Mathematical Sciences, 2020, vol. 2020, 1-7

Abstract:

The aim of this paper is to provide an approximation of the value-at-risk of the multivariate copula associated with financial loss and profit function. A higher dimensional extension of the Taylor–Young formula is used for this estimation in a Euclidean space. Moreover, a time-varying and conditional copula is used for the modeling of the VaR.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:6802932

DOI: 10.1155/2020/6802932

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