Extremal Copulas and Tail Dependence in Modeling Stochastic Financial Risk

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dc.contributor.authorMallam, Hassane Abba
dc.contributor.authorMoutari, Natatou Dodo
dc.contributor.authorDiakarya, Barro
dc.date.accessioned2023-05-22T03:57:00Z
dc.date.available2023-05-22T03:57:00Z
dc.date.issued2021-08-05
dc.descriptionEuropean Journal of Pure and Applied Mathematics, 14(3), 1057–1081.en_US
dc.description.abstractThese 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.en_US
dc.description.sponsorshipACE: Environment, CEA-CEFORGRISen_US
dc.identifier.citationMallam, 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.v14i3.3951en_US
dc.identifier.urihttps://doi.org/10.29020/nybg.ejpam.v14i3.3951
dc.identifier.urihttp://hdl.handle.net/123456789/1890
dc.language.isoenen_US
dc.publisherEuropean Journal of Pure and Applied Scienceen_US
dc.subjectCopulasen_US
dc.subjectextreme values theoryen_US
dc.subjectstochastic processen_US
dc.subjectValue at risken_US
dc.subjectTail dependenceen_US
dc.subjectCEFORGRISen_US
dc.subjectJoseph Ki-Zerbo University and Ouaga II Universityen_US
dc.subjectBurkina Fasoen_US
dc.titleExtremal Copulas and Tail Dependence in Modeling Stochastic Financial Risken_US
dc.typeArticleen_US
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