Result: A new algorithm based on copulas for VaR valuation with empirical calculations

Title:
A new algorithm based on copulas for VaR valuation with empirical calculations
Authors:
GANG CHENG, PING LI, PENG SHID
Source:
Internet and Network EconomicsTheoretical computer science. 378(2):190-197
Publisher Information:
Amsterdam: Elsevier, 2007.
Publication Year:
2007
Physical Description:
print, 17 ref
Original Material:
INIST-CNRS
Subject Terms:
Computer science, Informatique, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Analyse numérique, Numerical analysis, Probabilités et statistiques numériques, Numerical methods in probability and statistics, Sciences appliquees, Applied sciences, Informatique; automatique theorique; systemes, Computer science; control theory; systems, Informatique théorique, Theoretical computing, Algorithmique. Calculabilité. Arithmétique ordinateur, Algorithmics. Computability. Computer arithmetics, Divers, Miscellaneous, Algorithme, Algorithm, Algoritmo, Application, Aplicación, Distribution, Distribución, Fonction répartition, Distribution function, Función distribución, Indice, Index, Informatique théorique, Computer theory, Informática teórica, Loi marginale, Marginal distribution, Ley marginal, Mélange, Mixture, Mezcla, Méthode Monte Carlo, Monte Carlo method, Método Monte Carlo, Risque, Risk, Riesgo, Simulation, Simulación, 65C05, 68Wxx, Copulas, Monte Carlo simulation, Spearman's rho, Value-at-Risk
Document Type:
Conference Conference Paper
File Description:
text
Language:
English
Author Affiliations:
Wuhan University, Wuhan 430070, China
City University of Hong Kong, Kowloon, Hong-Kong
Beihang University, Beijing 100083, China
University of Wisconsin-Madison, Madison, WI 53706, United States
ISSN:
0304-3975
Access URL:
http://pascal-francis.inist.fr/vibad/index.php?action=search&terms=18799222
Rights:
Copyright 2008 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Computer science; theoretical automation; systems

Mathematics
Accession Number:
edscal.18799222
Database:
PASCAL Archive

Further Information

This paper concerns the application of copula functions in VaR valuation. The copula function is used to model the dependence structure of multivariate assets. After the introduction of the traditional Monte Carlo simulation method and the pure copula method we present a new algorithm based on mixture copula functions and the dependence measure, Spearman's rho. This new method is used to simulate daily returns of two stock market indices in China, Shanghai Stock Composite Index and Shenzhen Stock Composite Index, and then empirically calculate six risk measures including VaR and conditional VaR. The results are compared with those derived from the traditional Monte Carlo method and the pure copula method. From the comparison we show that the dependence structure between asset returns plays a more important role in valuating risk measures comparing with the form of marginal distributions.