Eres : Digital Library : Works

Paper eres2007_170:
Risk Management with Copulas

id eres2007_170
authors Goorah, Anish
year 2007
title Risk Management with Copulas
source 14th Annual European Real Estate Society Conference in London, UK
summary Real Estate Risk Management tools are traditionally based on mean-variance analysis. The non-normal behaviour of financial asset returns including real estate securities is a violation of one of the fundamental assumptions of mean-variance analysis. In this paper, the pitfalls of using the correlation coefficient as a measure of dependency is first discussed. The use of Copulas as an alternative to modeling the dependence structure and more generally as a risk-management tool is proposed. Copula based Value-at-Risk computations are also carried out.
series ERES:conference
discussion No discussions. Post discussion ...
ratings
session Session B6: Risk Management & Investment Dynamics
last changed 2009/11/19 09:01
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