Use of copulas for Value-At-Risk calculation and back-testing with an application to Italian data

Alessandra Mainini, Enrico Moretto, Arianna Agosto

Risultato della ricerca: Contributo in rivistaArticolo in rivista

Abstract

This article shows how the application of copulas to real financial data allows to capture and replicate non-linear links between stochastic returns. This is an important approach in risk management because it is surely more appropriate than traditional linear correlation indicators when analyzing random phenomena in financial market turmoil.
Titolo tradotto del contributo[Autom. eng. transl.] Use of copulas for Value-At-Risk calculation and back-testing with an application to Italian data
Lingua originaleItalian
pagine (da-a)6-14
Numero di pagine9
RivistaNEWSLETTER AIFIRM
Volume13
Stato di pubblicazionePubblicato - 2018

Keywords

  • Copulas
  • Value-At-Risk

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