GumbelCopulaVaR: Bivariate Gumbel Copule VaR
In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Derives VaR using bivariate Gumbel or logistic copula with specified inputs for normal marginals.

1	GumbelCopulaVaR(mu1, mu2, sigma1, sigma2, beta, cl)

`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)

Dowd documentation built on May 2, 2019, 6:15 p.m.

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