Publications (17)
ARTICLE
Value-at-Risk Modeling with Conditional Copulas in Euclidean Space Framework
Vini Yves Bernadin Loyara, Diakarya Barro
This paper aims to establish an analytic relation between a time-varying conditional copula and the value at risk modeled by the underlying. Specically, under the asumption that the space is euclidean we use scalar product to clarify a link between the conditional copula varying with time and norms. It is then established a new expression on t(...)
Copulas, Euclidean space, Scalar product, VaR
ARTICLE
MULTIVARIATE RISKS MODELING FOR FINANCIAL PORTFOLIO MANAGEMENT AND CLIMATE APPLICATIONS
Yves Bernadin Vini Loyara, Remi Guillaume Bagré and Diakarya Barro
This paper investigates some properties of derivative measures of the Value at Risk (VaR) of random variables modeling the stochastic behavior of a portfolio asset. Specifically, coherentness and convex properties of the conditional, the tail VaR and the standard deviation are established. Moreover, a new version of high risk scenario is chara(...)
risk management, Value at Risk, copulas, extreme values distribution, Pareto distributions