Risk Management with Copulas
||Risk Management with Copulas
||14th Annual European Real Estate Society Conference in London, UK
||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.
Post discussion ...
||Session B6: Risk Management & Investment Dynamics
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