In this paper, we deal with the evaluation of Conditional Value-at-Risk in the framework of portfolio theory by using a modified Gaussian Copula – where the modification is obtained by introducing the Generalized Correlation Coefficient – and by assuming a Generalized Error Distribution with properly estimated shape parameter p for the returns of the considered risky assets. In so doing, we add to the connection between standard Copula theory and financial risk assessment. A comparison analysis of our findings with those obtainable through a standard Gaussian Copula-based procedure in a set of real data is also presented.

A Generalized Error Distribution Copula-based method for portfolios risk assessment / Cerqueti, R.; Giacalone, M.; Panarello, D.. - In: PHYSICA. A. - ISSN 0378-4371. - 524:(2019), pp. 687-695. [10.1016/j.physa.2019.04.077]

A Generalized Error Distribution Copula-based method for portfolios risk assessment

Cerqueti R.;
2019

Abstract

In this paper, we deal with the evaluation of Conditional Value-at-Risk in the framework of portfolio theory by using a modified Gaussian Copula – where the modification is obtained by introducing the Generalized Correlation Coefficient – and by assuming a Generalized Error Distribution with properly estimated shape parameter p for the returns of the considered risky assets. In so doing, we add to the connection between standard Copula theory and financial risk assessment. A comparison analysis of our findings with those obtainable through a standard Gaussian Copula-based procedure in a set of real data is also presented.
2019
Conditional Value-at-Risk; Econophysics; Gaussian Copula; Generalized Correlation Coefficient; Generalized Error Distribution; Portfolio theory
01 Pubblicazione su rivista::01a Articolo in rivista
A Generalized Error Distribution Copula-based method for portfolios risk assessment / Cerqueti, R.; Giacalone, M.; Panarello, D.. - In: PHYSICA. A. - ISSN 0378-4371. - 524:(2019), pp. 687-695. [10.1016/j.physa.2019.04.077]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1364127
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