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

Xu, Qing

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

Inhaltsangabe

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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Über die Autorin bzw. den Autor

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

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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2009
Sprache
Englisch
ISBN 10 
3838302931
ISBN 13 
9783838302935
Einband
Taschenbuch
Anzahl der Seiten
152
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
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