Archimedean-Copula-Based Models in Financial Risk Management: - Estimating and Evaluating - Brossura

Xu, Qing

 
9783838302935: Archimedean-Copula-Based Models in Financial Risk Management: - Estimating and Evaluating
Brossura
ISBN 10: 3838302931 ISBN 13: 9783838302935
Casa editrice: LAP LAMBERT Academic Publishing, 2009

Sinossi

Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk.

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L'autore

Dr. Qing Xu holds a PhD in Financial Economics from Massey University in Auckland, New Zealand. He is currently lecturer of finance at Auckland University of Technology. His research and teaching interests include financial modeling and risk management.

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Editore
LAP LAMBERT Academic Publishing
Data di pubblicazione
2009
Lingua
Inglese
ISBN 10 
3838302931
ISBN 13 
9783838302935
Rilegatura
Copertina flessibile
Numero di pagine
152
Contatto del produttore
non disponibile
Persona responsabile
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