ARTICLE
Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula
- International Journal of Mathematics and Mathematical Sciences , 2020 (2020) : 1-8
Lien de l'article :
https://doi.org/10.1155/2020/6802932
Discipline :
Statistiques et Probabilités
Auteur(s) :
Vini Yves Bernadin Loyara; Remi Guillaume Bagré; Diakarya Barro
Auteur(s) tagués :
LOYARA Vini Yves Bernadin
Renseignée par : LOYARA Vini Yves Bernadin
Résumé
The aim of this paper is to provide an approximation of the value-at-risk of the multivariate copula associated with financial loss and profit function. A higher dimensional extension of the Taylor–Young formula is used for this estimation in a Euclidean space. Moreover, a time-varying and conditional copula is used for the modeling of the VaR.
Mots-clés
Copules, Estimation, Taylor-Young, VaR