Zastosowanie funkcji łączących w wyznaczaniu granic dla Value-at-Risk

• Authors: Tomasz Szkutnik

Title variants

EN

The Application of Copula Function in Determining Bounds for Value-at-Risk

• Languages of publication: PL

Abstracts

EN

The subject of the article concerns bank risk generally and addresses the problem of determining relevant limits for the VaR risk measure at the aggregated level for dependent random variables whose joint multidimensional distribution function is unknown. The information about the dependencies between the random variables is regarded as partial, which allows for the introduction of limiting conditions for the unknown distribution function and the determination of limits for VaR. The dependences among the random variables were introduced on the ground of copula function theory. Limits for the aggregated VaR value were determined on the basis of Williamson and Downson numerical algorithm by means of the programme MATLAB.

Keywords

EN

COPULA FUNCTION; VaR; STOCHASTIC BOUNDS; OPERATIONAL RISK

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
• Journal: Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
• Year: 2012
• Issue: 895
• Pages: 59-70

Contributors

author

Tomasz Szkutnik

• Uniwersytet Ekonomiczny w Katowicach, Katedra Ekonometrii, ul. Bogucicka 14, 40-226 Katowice, Poland

References

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