2021/03/19 by Marri, Fouad, Moutanabbir, Khouzeima
#Computational Finance (q-fin.CP) #FOS: Economics and business #Portfolio Management (q-fin.PM) #Pricing of Securities (q-fin.PR) #Risk Management (q-fin.RM) #Statistical Finance (q-fin.ST)
paper · doi:10.48550/arxiv.2103.10989
In this paper, we address risk aggregation and capital allocation problems in the presence of dependence between risks. The dependence structure is defined by a mixed Bernstein copula which represents a generalization of the well-known Archimedean copulas. Using this new copula, the probability density function and the cumulative distribution function of the aggregate risk are obtained. Then, closed-form expressions for basic risk measures, such as tail value-at-risk(TVaR) and TVaR-based allocations, are derived.