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 |
| Published: |
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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