Open AccessAn Approach of Estimating the Value at Risk of Heavy-tailed Distribution using Copulas
Author(s) -
Ou ́edraogo Korotimi,
Diakarya Barro
Publication year - 2022
Publication title -
european journal of pure and applied mathematics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.245
H-Index - 5
ISSN - 1307-5543
DOI - 10.29020/nybg.ejpam.v15i4.4280
Subject(s) - quantile , mathematics , copula (linguistics) , estimator , econometrics , value at risk , extreme value theory , covariate , conditional probability distribution , statistics , quantile regression , parametric statistics , risk management , economics , management