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Article

Иерархические копулы в моделировании рисков инвестиционного портфеля

Прикладная эконометрика. 2014. Т. 35. № 3. С. 18-38.
Paper is devoted to comparison of various copula models application to investment portfolio risk measurement. Elliptical, Archimedean and hierarchical copulas are considered in the research. The analysis undertaken has shown that hierarchical Clayton model enables to evaluate investment portfolio risks more precisely given the criteria of risk measures such as expected shortfall (ES) and Value-at-Risk (VaR). Statistically justified approach to hierarchical copula definition is also proposed.