Measurement of bivariate risks by the north-south quantile points approach
Özet
This paper attempts to determine the Value at Risk (VaR) and Conditional Value at Risk (CVaR) measures for the sum of bivariate risks under dependence. The computation of these risk measures is performed by the north-south quantile points of bivariate distributions. The Farlie-Gumbel-Morgenstern (FGM) copula model is chosen to express dependence of bivariate risks. The behaviors of VaR and CVaR are examined by varying dependence parameter values of the copula model and probability levels of the risk measures. The findings are interpreted from the view point of portfolio risk management. (C) 2013 Elsevier B.V. All rights reserved.
Kaynak
Journal of Computational and Applied MathematicsCilt
255Sayfalar
208-215Koleksiyonlar
Anahtar Kelimeler
Risk measuresCopula
Bivariate quantiles
North-south quantile points