Value-at-Risk Modeling with Conditional Copulas in Euclidean Space Framework

Vini Yves Bernadin Loyara, Diakarya Barro

Abstract

This paper aims to establish an analytic relation between a time-varying conditional copula and the value at risk modeled by the underlying. Specically, under the asumption that the space is euclidean we use scalar product to clarify a link between the conditional copula varying with time and norms. It is then established a new expression on the geometric yield

Keywords

Copulas, Euclidian space, Scalar product, VaR, geometric yield

Full Text:

PDF