Measurement of bivariate risks by the north-south quantile points approach
Yükleniyor...
Tarih
2014
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Science Bv
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This paper attempts to determine the Value at Risk (VaR) and Conditional Value at Risk (CVaR) measures for the sum of bivariate risks under dependence. The computation of these risk measures is performed by the north-south quantile points of bivariate distributions. The Farlie-Gumbel-Morgenstern (FGM) copula model is chosen to express dependence of bivariate risks. The behaviors of VaR and CVaR are examined by varying dependence parameter values of the copula model and probability levels of the risk measures. The findings are interpreted from the view point of portfolio risk management. (C) 2013 Elsevier B.V. All rights reserved.
Açıklama
Gebizlioglu, Omer/0000-0002-3824-281X
Anahtar Kelimeler
Risk measures, Copula, Bivariate quantiles, North-south quantile points
Kaynak
Journal Of Computational And Applied Mathematics
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
255
Sayı
Künye
Kara, E.K., & Gebizlioglu, Ö.L. (2014). Measurement of bivariate risks by the north-south quantile points approach. J. Comput. Appl. Math., 255, 208-215.
