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Involving copula functions in Conditional Tail Expectation
Conditional tail expectation Copulas Dependence concepts Risk measure Capital requirement Heavy-tailed distributions
2012/6/5
We discuss a new notion of risk measures that preserve the property of coherence called Copula Conditional Tail Expectation (CCTE). This measure describes the expected amount of risk that can be exper...
An information theoretic approach to statistical dependence: copula information
An information theoretic statistical dependence copula information
2010/11/3
We discuss the connection between information and copula theories by showing that a copula can be employed to decompose the information content of a multivariate distribution into marginal and depende...
多金融资产风险价值的Copula计量方法研究
2007/8/7
内容摘要：本文侧重研究多金融资产风险价值(VaR)的计量方法。首先讨论传统的金融资产风险价值VaR计量方法；然后利用Copula联结函数、混合分布和Jacob矩阵构造出多金融资产风险价值的Copula计量方法；最后指出风险价值的Copula计量方法研究的相关问题。关键词：风险价值，Copula联结函数，混合分布，多金融资产，投资管理。