Businesses Risks Aggregation with Copula

Jules Sadefo Kamdem

Journal of Quantitative Economics, 2011, vol. 9, issue 2, 58-72

Abstract: This paper provides explicit expression for the lower bound and the upper bound of the overall VaR of a portfolio of business units when the joint risks factors of each business unit follows a mixture of multivariate elliptic distributions with dynamic conditional correlation matrix. We use copula to measure the dependence between the profits and losses (P&Ls) of different business units in the portfolio.

Keywords: Aggregation; Capital allocation; Copula; Dynamic volatility; Risk management; CDF; Elliptic distributions (search for similar items in EconPapers)
JEL-codes: C18 G11 G32 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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