Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6422825 | Journal of Computational and Applied Mathematics | 2014 | 8 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Emel Kizilok Kara, Omer L. Gebizlioglu,