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Dependance Structure and Risk Measure

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Date
2003
Dewey
Economie financière
Sujet
Multivariate Model; Value-at-Risk
JEL code
C16; G24; G21; G1
Journal issue
The Journal of Business
Volume
76
Number
3
Publication date
2003
Article pages
411-438
Publisher
Chicago Journals
DOI
http://dx.doi.org/10.1086/375253
URI
https://basepub.dauphine.fr/handle/123456789/2332
Collections
  • DRM : Publications
Metadata
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Author
Kharoubi, Cécile
Ané, Thierry
Type
Article accepté pour publication ou publié
Abstract (EN)
Understanding the relationships among multivariate assets would help one greatly about how best to position one’s investments and enhance one’s financial risk protection. We present a new method to model parametrically the dependence structure of stock index returns through a continuous distribution function, which links an n‐dimensional density to its one‐dimensional margins. The resulting multivariate model could be used in a wide range of financial applications. Focusing on risk management, we show that a misspecification of the dependence structure introduces, on average, an error in Value‐at‐Risk estimates.

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