Measurement of bivariate risks by the north-south quantile points approach

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Date

2014

Authors

Kara, Emel Kızılok
Gebizlioğlu, Ömer Lütfi

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Elsevier Science

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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. (C) 2013 Elsevier B.V. All rights reserved.

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Keywords

Risk measures, Copula, Bivariate quantiles, North-south quantile points

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1

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Volume

255

Issue

Start Page

208

End Page

215