Modeling the Dependence of Losses of a Financial Portfolio Using Nested Archimedean Copulas | Zendy

Wendkouni Yaméogo | Zendy; Diakarya Barro | Zendy

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Modeling the Dependence of Losses of a Financial Portfolio Using Nested Archimedean Copulas

Author(s) -

Wendkouni Yaméogo,

Diakarya Barro

Publication year - 2021

Publication title -

international journal of mathematics and mathematical sciences

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.21

H-Index - 39

eISSN - 1687-0425

pISSN - 0161-1712

DOI - 10.1155/2021/4651044

Subject(s) - portfolio , mathematics , copula (linguistics) , econometrics , weibull distribution , value at risk , class (philosophy) , tail dependence , actuarial science , economics , statistics , risk management , computer science , finance , artificial intelligence , multivariate statistics

In financial analysis, stochastic models are more and more used to estimate potential outcomes in a risky framework. This paper proposes an approach of modeling the dependence of losses on securities, and the potential loss of the portfolio is divided into sectors each including two subsectors. The Weibull model is used to describe the stochastic behavior of the default time while a nested class of Archimedean copulas at three levels is used to model the maximum of the value at risk of the portfolio.

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