One of the most important issues in finance is to correctly measure the risk profile of a portfolio, which is fundamental to take optimal decisions on the capital allocation. In this paper, we deal with the evaluation of portfolio’s Conditional Value-at-Risk (CVaR) using a modified Gaussian Copula, where the correlation coefficient is replaced by a generalization of it, obtained as the correlation parameter ofabivariateGeneralizedErrorDistribution(G.E.D.).Wepresentanalgorithmwith the aim of verifying the performance of the G.E.D. method over the classical RiskMetrics one, resulting in higher performance of the G.E.D. method.

A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation / Cerqueti, R.; Giacalone, M.; Panarello, D.. - (2018). [10.1007/978-3-319-89824-7]

A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation

Giacalone M.;
2018

Abstract

One of the most important issues in finance is to correctly measure the risk profile of a portfolio, which is fundamental to take optimal decisions on the capital allocation. In this paper, we deal with the evaluation of portfolio’s Conditional Value-at-Risk (CVaR) using a modified Gaussian Copula, where the correlation coefficient is replaced by a generalization of it, obtained as the correlation parameter ofabivariateGeneralizedErrorDistribution(G.E.D.).Wepresentanalgorithmwith the aim of verifying the performance of the G.E.D. method over the classical RiskMetrics one, resulting in higher performance of the G.E.D. method.
2018
978-3-319-89823-0
A Generalized Error Distribution-based method for Conditional Value-at-Risk evaluation / Cerqueti, R.; Giacalone, M.; Panarello, D.. - (2018). [10.1007/978-3-319-89824-7]
File in questo prodotto:
File Dimensione Formato  
cergiapan.pdf

non disponibili

Tipologia: Altro materiale allegato
Licenza: Accesso privato/ristretto
Dimensione 305.06 kB
Formato Adobe PDF
305.06 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/719208
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 3
  • ???jsp.display-item.citation.isi??? ND
social impact