| 題名: | A Versatile Copula and Its Application to Risk Measures |
| 作者: | Jeungbo Shim Eun-Joo Lee Seung-Hwan Lee |
| 關鍵字: | dependence structure|versatility|grouped t copula|value at risk |
| 期刊名/會議名稱: | international journal of business and economics |
| 摘要: | This paper proposes a copula that has versatile properties. We apply grouped t and versatile t copulas to estimate Value at Risk and expected shortfall using a sample of firms in the US property-liability insurance industry. We perform goodness-of-fit tests to assess the adequacy of the copula models selected. We find that a versatile copula is effective in estimating dependence structures of non-homogeneous multivariate risks. |
| ISSN: | issn16070704 |
| 日期: | 2010/12/01 |
| 分類: | Volume09,No.3 |
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