{"product_id":"archimedean-copula-based-models-in-financial-risk-management-estimating-and-evaluating-von-qing-xu","title":"Archimedean-Copula-Based Models in Financial Risk Management","description":"\u003cp\u003eCopula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.This dissertation comprises three essays and probes into three untouched questions all involving the Archimedean-copula-based models. It provides important empirical evidences that the Archimedean copula-based PVaR model generally has better forecasting performance than the Gaussian copula-based PVaR model. Therefore, financial risk managers should consider the use of the Archimedean copula-based PVaR model when attempting to forecast extreme downside dependent risk.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838302935\"\u003e\u003ch3\u003e- Estimating and Evaluating\u003c\/h3\u003e\u003c\/div\u003e","brand":"Libri","offers":[{"title":"Softcover - 9783838302935","offer_id":39459757981789,"sku":"9783838302935","price":59.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/595cecc7-adcf-461f-a07f-83c3902a36d5.jpg?v=1775626600","url":"https:\/\/shop.autorenwelt.de\/en\/products\/archimedean-copula-based-models-in-financial-risk-management-estimating-and-evaluating-von-qing-xu","provider":"Autorenwelt Shop","version":"1.0","type":"link"}