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

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• 作者：Emel Kizilok Kara ; Omer L. Gebizlioglu
• 关键词：Risk measures ; Copula ; Bivariate quantiles ; North&ndash ; south quantile points
• 刊名：Journal of Computational and Applied Mathematics
• 出版年：2014
• 出版时间：1 January, 2014
• 年：2014
• 卷：255
• 期：Complete
• 页码：208-215
• 全文大小：412 K

文摘

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.