| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5627 |
| DP5627 Adaptive Learning in Practice | |
| Chryssi Giannitsarou; Eva Carceles-Poveda | |
| 发表日期 | 2006-04-20 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Copulas offer financial risk managers a powerful tool to model the dependence between the different elements of a portfolio and are preferable to the traditional, correlation-based approach. In this paper we show the importance of selecting an accurate copula for risk management. We extend standard goodness-of-fit tests to copulas. Contrary to existing, indirect tests, these tests can be applied to any copula of any dimension and are based on a direct comparison of a given copula with observed data. For a portfolio consisting of stocks, bonds and real estate, these tests provide clear evidence in favour of the Student?s t copula, and reject both the correlation-based Gaussian copula and the extreme value-based Gumbel copula. In comparison with the Student?s t copula, we find that the Gaussian copula underestimates the probability of joint extreme downward movements, while the Gumbel copula overestimates this risk. Similarly we establish that the Gaussian copula is too optimistic on diversification benefits, while the Gumbel copula is too pessimistic. Moreover, these differences are significant. |
| 主题 | Financial Economics |
| 关键词 | Financial dependence Risk management Copulas Distributional tests Tail dependence |
| URL | https://cepr.org/publications/dp5627 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534495 |
| 推荐引用方式 GB/T 7714 | Chryssi Giannitsarou,Eva Carceles-Poveda. DP5627 Adaptive Learning in Practice. 2006. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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