Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula
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 condition...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2020-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/2020/6802932 |
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| _version_ | 1832546869220212736 |
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| author | Vini Yves Bernadin Loyara Remi Guillaume Bagré Diakarya Barro |
| author_facet | Vini Yves Bernadin Loyara Remi Guillaume Bagré Diakarya Barro |
| author_sort | Vini Yves Bernadin Loyara |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-484687a9d85a4404bc5c6f561e0b2395 |
| institution | Kabale University |
| issn | 0161-1712 1687-0425 |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | International Journal of Mathematics and Mathematical Sciences |
| spelling | doaj-art-484687a9d85a4404bc5c6f561e0b23952025-02-03T06:46:53ZengWileyInternational Journal of Mathematics and Mathematical Sciences0161-17121687-04252020-01-01202010.1155/2020/68029326802932Estimation of the Value at Risk Using the Stochastic Approach of Taylor FormulaVini Yves Bernadin Loyara0Remi Guillaume Bagré1Diakarya Barro2Ecole Supérieure Polytechnique de Kaya, BP 174, Kaya, Burkina FasoUFR-ST, Université Norbert Zongo, BP 376, Koudougou, Burkina FasoUniversité Ouaga 2, 12 BP 417, Ouagadougou, Burkina FasoThe 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.http://dx.doi.org/10.1155/2020/6802932 |
| spellingShingle | Vini Yves Bernadin Loyara Remi Guillaume Bagré Diakarya Barro Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula International Journal of Mathematics and Mathematical Sciences |
| title | Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula |
| title_full | Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula |
| title_fullStr | Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula |
| title_full_unstemmed | Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula |
| title_short | Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula |
| title_sort | estimation of the value at risk using the stochastic approach of taylor formula |
| url | http://dx.doi.org/10.1155/2020/6802932 |
| work_keys_str_mv | AT viniyvesbernadinloyara estimationofthevalueatriskusingthestochasticapproachoftaylorformula AT remiguillaumebagre estimationofthevalueatriskusingthestochasticapproachoftaylorformula AT diakaryabarro estimationofthevalueatriskusingthestochasticapproachoftaylorformula |