Extremal Copulas and Tail Dependence in Modeling Stochastic Financial Risk
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Date
2021-08-05
Journal Title
Journal ISSN
Volume Title
Publisher
European Journal of Pure and Applied Science
Abstract
These last years the stochastic modeling became essential in financial risk management related to the ownership and valuation of financial products such as assets, options and bonds. This paper presents a contribution to the modeling of stochastic risks in finance by using both extensions of tail dependence coefficients and extremal dependance structures based on copulas. In particular, we show that when the stochastic behavior of a set of risks can be modeled by a multivariate extremal process a corresponding form of the underlying copula describing their
dependence is determined. Moreover a new tail dependence measure is proposed and properties of this measure are established.
Description
European Journal of Pure and Applied Mathematics, 14(3), 1057–1081.
Keywords
Copulas, extreme values theory, stochastic process, Value at risk, Tail dependence, CEFORGRIS, Joseph Ki-Zerbo University and Ouaga II University, Burkina Faso
Citation
Mallam, H. A., Moutari, N. D., Diakarya, B., & Bisso, S. (2021). Extremal Copulas and Tail Dependence in Modeling Stochastic Financial Risk. European Journal of Pure and Applied Mathematics, 14(3), 1057–1081. https://doi.org/10.29020/nybg.ejpam.v14i3.3951