This article shows how the application of copulas to real financial data allows to capture and replicate non-linear links between stochastic returns. This is an important approach in risk management because it is surely more appropriate than traditional linear correlation indicators when analyzing random phenomena in financial market turmoil.
Agosto, A., Mainini, A., Moretto, E., Use of copulas for Value-At-Risk calculation and back-testing with an application to Italian data, <<RISK MANAGEMENT MAGAZINE>>, 2018; 13 (2): 6-14 [http://hdl.handle.net/10807/133085]
Use of copulas for Value-At-Risk calculation and back-testing with an application to Italian data
Mainini, Alessandra;Moretto, Enrico
2018
Abstract
This article shows how the application of copulas to real financial data allows to capture and replicate non-linear links between stochastic returns. This is an important approach in risk management because it is surely more appropriate than traditional linear correlation indicators when analyzing random phenomena in financial market turmoil.
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