Risk Management with Copulas

Anish Goorah

ERES from European Real Estate Society (ERES)

Abstract: Real Estate Risk Management tools are traditionally based on mean-variance analysis. The non-normal behaviour of financial asset returns including real estate securities is a violation of one of the fundamental assumptions of mean-variance analysis. In this paper, the pitfalls of using the correlation coefficient as a measure of dependency is first discussed. The use of Copulas as an alternative to modeling the dependence structure and more generally as a risk-management tool is proposed. Copula based Value-at-Risk computations are also carried out.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2007-01-01
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2007-170 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2007_170

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().