Using Asymmetric Copulas in Risk Management

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F04274644%3A_____%2F17%3A%230000319" target="_blank" >RIV/04274644:_____/17:#0000319 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Using Asymmetric Copulas in Risk Management
Original language description
Risk measurement importance as well as the efficiency of risk management tools have increased dramatically over the last three decades, Value at Risk (VaR) is one of the most popular risk management approaches. Due to the ever-increasing amount of assets in the portfolios of both financial and non-financial institutions, there is an increasing need to use tools to describe multidimensional dependency structures. In this context, the use of the copula functions is increased in a direct proportion. The copulas are able to describe dependencies in normal market conditions as well as in the extreme events. The aim of the paper is to determine how the application of asymmetric classes copulas in the accuracy of modeling and forecasting equity risk.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 30th International Business Information Management Association Conference: Vision 2020: Sustainable Economic development, Innovation Management, and Global Growth
ISBN
9780986041990
ISSN
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e-ISSN
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Number of pages
11
Pages from-to
4413-4423
Publisher name
International Business Information Management Association (IBIMA)
Place of publication
USA
Event location
Madrid, Spain
Event date
Jan 1, 2017
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000443640503053

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