Measurement of bivariate risks by the north-south quantile points approach
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Date
2014
Authors
Kara, Emel Kızılok
Gebizlioğlu, Ömer Lütfi
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier Science
Open Access Color
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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
Turkish CoHE Thesis Center URL
Fields of Science
Citation
1
WoS Q
Q1
Scopus Q
Q2
Source
Volume
255
Issue
Start Page
208
End Page
215