On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails. Issue 9 (1st September 2020)

• Record Type: Journal Article
• Authors: Xing, Guo-dong; Gan, Xiaoli; Li, Xiaohu; Yang, Shanchao
• Is Part Of: Communications in statistics. Volume 49:Issue 9(2020)
• Page Start: 2462
• Page End: 2471
• Publication Date: 2020-09-01
• Subjects: Value-at-risk -- Portfolio loss -- Bivariate Eyraud-Farlie-Gumbel-Morgenstern copula -- Power-law -- Diversification; 60F05 -- 91B30; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2018.1520873
• Languages: English
• ISSNs: 0361-0918

Abstract

Abstract: In the setting of bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails characterized by the power law of tail decay, we give the asymptotics of value-at-risk for portfolio loss as the confidence level tends to one. It can be seen from the obtained asymptotics that diversification decreases the value-at-risk of portfolio loss for the tail index greater than one and increases the value-at-risk of portfolio loss for the tail index less than one. To illustrate the obtained results, a relevant example is shown.