Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula
Joint Authors
Barro, Diakarya
Bagré, Remi Guillaume
Loyara, Vini Yves Bernadin
Source
International Journal of Mathematics and Mathematical Sciences
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-01-22
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
The aim of this paper is to provide an approximation of the value-at-risk of the multivariate copula associated with financial loss and profit function.
A higher dimensional extension of the Taylor–Young formula is used for this estimation in a Euclidean space.
Moreover, a time-varying and conditional copula is used for the modeling of the VaR.
American Psychological Association (APA)
Loyara, Vini Yves Bernadin& Bagré, Remi Guillaume& Barro, Diakarya. 2020. Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula. International Journal of Mathematics and Mathematical Sciences،Vol. 2020, no. 2020, pp.1-7.
https://search.emarefa.net/detail/BIM-1172675
Modern Language Association (MLA)
Loyara, Vini Yves Bernadin…[et al.]. Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula. International Journal of Mathematics and Mathematical Sciences No. 2020 (2020), pp.1-7.
https://search.emarefa.net/detail/BIM-1172675
American Medical Association (AMA)
Loyara, Vini Yves Bernadin& Bagré, Remi Guillaume& Barro, Diakarya. Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula. International Journal of Mathematics and Mathematical Sciences. 2020. Vol. 2020, no. 2020, pp.1-7.
https://search.emarefa.net/detail/BIM-1172675
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1172675
