{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/copula-analysis-of-risk-a-multivariate-risk","title":"Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH","arxiv_id":"2505.06950","date":"2025-05-11","proceeding":null,"authors":["Aryan Singh","Paul O Reilly","Daim Sharif","Patrick Haughey","Eoghan McCarthy","Sathvika Thorali Suresh","Aakhil Anvar","Adarsh Sajeev Kumar"],"abstract":"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.","url_abs":"https://arxiv.org/abs/2505.06950v1","url_pdf":"https://arxiv.org/pdf/2505.06950v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"copula-analysis-of-risk-a-multivariate-risk","repo_url":"https://github.com/aryansingh920/copulas-in-time-series-financial-modelling","is_official":1,"mentioned_in_paper":0,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[{"task_slug":"time-series-1","task_name":"Time Series"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}