VaR Estimation of Multivariate Distribution Using Copula Functions
Copula 함수를 이용한 이변량분포의 VaR 추정

Chong-Sun Hong, Jae-Hyung Lee
2011 Korean Journal of Applied Statistics  
Most financial preference methods for market risk management are to estimate VaR. In many real cases, it happens to obtain the VaRs of the univariate as well as multivariate distributions based on multivariate data. Copula functions are used to explore the dependence of non-normal random variables and generate the corresponding multivariate distribution functions in this work. We estimate Archimedian Copula functions including Clayton Copula, Gumbel Copula, Frank Copula that are fitted to the
more » ... are fitted to the multivariate earning rate distribution, and then obtain their VaRs. With these Copula functions, we estimate the VaRs of both a certain integrated industry and individual industries. The parameters of three kinds of Copula functions are estimated for an illustrated stock data of two Korean industries to obtain the VaR of the bivariate distribution and those of the corresponding univariate distributions. These VaRs are compared with those obtained from other methods to discuss the accuracy of the estimations.
doi:10.5351/kjas.2011.24.3.523 fatcat:for6zlxr45dyrgthvmrwovxfhu