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

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...

Full description

Saved in:
Bibliographic Details
Main Authors: Wendkouni Yaméogo, Diakarya Barro
Format: Article
Language:English
Published: Wiley 2021-01-01
Series:International Journal of Mathematics and Mathematical Sciences
Online Access:http://dx.doi.org/10.1155/2021/4651044
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:0161-1712
1687-0425