Title:

Aggregate dependent risks - risk measure calculation

Group publication title:

Mathematical Economics

Creator:

Heilpern, Stanisław

Subject and Keywords:

Value at Risk ; dependent random variables ; copula ; Frechet bounds ; expected shortfall

Description:

Mathematical Economics, 2011, Nr 7 (14), s. 107-122

Abstrakt:

We investigate the sum of dependent random variables. The dependent structure is modeled by copulas. The risk measures, VaR and ES of such sums, are calculated. We present the lower and upper border of VaR. The examples when the marginals have exponential and Pareto distribution are investigated. The influence of the degree of dependence on the value of VaR of the sum of dependent random variables is analysed.

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2011

Resource Type:

artykuł

Format:

application/pdf

Language:

eng

Relation:

Mathematical Economics, 2011, Nr 7 (14)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu