Dependance Structure and Risk Measure
Kharoubi, Cécile; Ané, Thierry (2003), Dependance Structure and Risk Measure, The Journal of Business, 76, 3, p. 411-438. http://dx.doi.org/10.1086/375253
Type
Article accepté pour publication ou publiéDate
2003Journal name
The Journal of BusinessVolume
76Number
3Publisher
Chicago Journals
Pages
411-438
Publication identifier
Metadata
Show full item recordAbstract (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.Subjects / Keywords
Multivariate Model; Value-at-RiskRelated items
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