Description Usage Arguments Value Author(s) References Examples
Derives VaR using bivariate Gumbel or logistic copula with specified inputs for normal marginals.
1 | GumbelCopulaVaR(mu1, mu2, sigma1, sigma2, beta, cl)
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mu1 |
Mean of Profit/Loss on first position |
mu2 |
Mean of Profit/Loss on second position |
sigma1 |
Standard Deviation of Profit/Loss on first position |
sigma2 |
Standard Deviation of Profit/Loss on second position |
beta |
Gumber copula parameter (greater than 1) |
cl |
VaR onfidece level |
Copula based VaR
Dinesh Acharya
Dowd, K. Measuring Market Risk, Wiley, 2007.
Dowd, K. and Fackler, P. Estimating VaR with copulas. Financial Engineering News, 2004.
1 2 | # VaR using bivariate Gumbel for X and Y with given parameters:
GumbelCopulaVaR(1.1, 3.1, 1.2, 1.5, 1.1, .95)
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