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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 publié
Date
2003
Journal name
The Journal of Business
Volume
76
Number
3
Publisher
Chicago Journals
Pages
411-438
Publication identifier
http://dx.doi.org/10.1086/375253
Metadata
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Author(s)
Kharoubi, Cécile
Ané, Thierry
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.
Subjects / Keywords
Multivariate Model; Value-at-Risk
JEL
C16
G24 - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
G1 - General Financial Markets

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