Archimedean-Copula-Based Models in Financial Risk Management: - Estimating and Evaluating

Xu, Qing

ISBN 10: 3838302931 / ISBN 13: 9783838302935

Published by LAP LAMBERT Academic Publishing, 2009

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Bibliographic Details

• Title: Archimedean-Copula-Based Models in Financial Risk Management: - Estimating and Evaluating
• Publisher: LAP LAMBERT Academic Publishing
• Publication Date: 2009
• Language: English
• ISBN 10: 3838302931
• ISBN 13: 9783838302935
• Binding: Paperback
• Condition: Like New
• Book Type: book

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Synopsis

Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk.

About the Author

Dr. Qing Xu holds a PhD in Financial Economics from Massey University in Auckland, New Zealand. He is currently lecturer of finance at Auckland University of Technology. His research and teaching interests include financial modeling and risk management.