Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH

Aryan Singh, Paul O Reilly, Daim Sharif, Patrick Haughey, Eoghan McCarthy, Sathvika Thorali Suresh, Aakhil Anvar and Adarsh Sajeev Kumar

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Abstract: A multivariate risk analysis for VaR and CVaR using different copula families is performed on historical financial time series fitted with DCC-GARCH models. A theoretical background is provided alongside a comparison of goodness-of-fit across different copula families to estimate the validity and effectiveness of approaches discussed.

Date: 2025-05
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