Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH
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arXiv
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| Autori principali: | , , , , , , , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866908359963181056 |
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| author | Singh, Aryan Reilly, Paul O Sharif, Daim Haughey, Patrick McCarthy, Eoghan Suresh, Sathvika Thorali Anvar, Aakhil Kumar, Adarsh Sajeev |
| author_facet | Singh, Aryan Reilly, Paul O Sharif, Daim Haughey, Patrick McCarthy, Eoghan Suresh, Sathvika Thorali Anvar, Aakhil Kumar, Adarsh Sajeev |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2505_06950 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH Singh, Aryan Reilly, Paul O Sharif, Daim Haughey, Patrick McCarthy, Eoghan Suresh, Sathvika Thorali Anvar, Aakhil Kumar, Adarsh Sajeev Risk Management Computational Finance Statistical Finance 60G70, 62H05, 91G70 G.3; I.5.1; I.2.6 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. |
| title | Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH |
| topic | Risk Management Computational Finance Statistical Finance 60G70, 62H05, 91G70 G.3; I.5.1; I.2.6 |
| url | https://arxiv.org/abs/2505.06950 |