Copulas as a measure of dependence in skewed portfolios of risk simulation study on financial losses
Joint Authors
Sadiq, Bikhal Samad
al-Khalidi, Abd al-Sattar R. S.
Source
ZANCO Journal of Pure and Applied Sciences
Issue
Vol. 29, Issue 3 (30 Jun. 2017), pp.100-109, 10 p.
Publisher
Salahaddin University-Erbil Department of Scientific Publications
Publication Date
2017-06-30
Country of Publication
Iraq
No. of Pages
10
Main Subjects
Natural & Life Sciences (Multidisciplinary)
Abstract EN
In this paper we have implemented copula functions in risk management applications, where randomness plays a big role in portfolios.
We have used its powerful property in sensing the dependency structure of the distribution tail to measure the risk probability that a portfolio of random risk structure may encounter over specified time horizon ahead.
We have used the Monte Carlo simulation to generate the required data to be used in practiced side.
We have performed a practical application with a portfolio of ten Italian equities Copula function represents the dependence structure of a random variable vector.
We concluded that the use of a Clayton copula is better than in the comparison- based on (Vary), used program (R).
American Psychological Association (APA)
Sadiq, Bikhal Samad& al-Khalidi, Abd al-Sattar R. S.. 2017. Copulas as a measure of dependence in skewed portfolios of risk simulation study on financial losses. ZANCO Journal of Pure and Applied Sciences،Vol. 29, no. 3, pp.100-109.
https://search.emarefa.net/detail/BIM-770897
Modern Language Association (MLA)
Sadiq, Bikhal Samad& al-Khalidi, Abd al-Sattar R. S.. Copulas as a measure of dependence in skewed portfolios of risk simulation study on financial losses. ZANCO Journal of Pure and Applied Sciences Vol. 29, no. 3 (2017), pp.100-109.
https://search.emarefa.net/detail/BIM-770897
American Medical Association (AMA)
Sadiq, Bikhal Samad& al-Khalidi, Abd al-Sattar R. S.. Copulas as a measure of dependence in skewed portfolios of risk simulation study on financial losses. ZANCO Journal of Pure and Applied Sciences. 2017. Vol. 29, no. 3, pp.100-109.
https://search.emarefa.net/detail/BIM-770897
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 109
Record ID
BIM-770897