Papers › Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas...
Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH
Aryan Singh, Paul O Reilly, Daim Sharif, Patrick Haughey, Eoghan McCarthy, Sathvika Thorali Suresh, Aakhil Anvar, Adarsh Sajeev Kumar
A multivariate risk analysis for VaR and CVaR using different copula families is performed on historical financial time series fitted with DCC-GARCH models. A theoretical background is provided alongside a comparison of goodness-of-fit across different copula families to estimate the validity and effectiveness of approaches discussed.
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