Aggregate Dependent Risks - Risk Measure Calculation

• Autorzy: Stanisław Heilpern
• Języki publikacji: EN

Abstrakty

EN

We investigate the sum of dependent random variables. The dependent structure is modeled by copulas. The risk measures, VaR and ES of such sums, are calculated. We present the lower and upper border of VaR. The examples when the marginals have exponential and Pareto distribution are investigated. The influence of the degree of dependence on the value of VaR of the sum of dependent random variables is analysed.(original abstract)

Słowa kluczowe

EN

Value at Risk Analysis; Random variable; Pareto distribution

PL

Analiza wartości zagrożonej; Zmienne losowe; Rozkład Pareta

• Czasopismo: Mathematical Economics
• Rocznik: 2011
• Numer: nr 7(14)
• Strony: 107--122

Twórcy

autor

Stanisław Heilpern

• Uniwersytet Ekonomiczny we Wrocławiu

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