Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH

2025/05/11 by Singh, Aryan, Paul Reilly, Reilly, Paul O +10
Decision Sciences · Economics, Econometrics and Finance · #60G70 #62H05 #91G70 #Computational Finance (q-fin.CP) #Credit Risk and Financial Regulations #FOS: Economics and business #Financial Risk and Volatility Modeling #G.3 #I.2.6 #I.5.1 #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Statistical Finance (q-fin.ST)

paper · pdf · doi:10.48550/arxiv.2505.06950

openalex publication_date 2025/05/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

A multivariate risk analysis for VaR and CVaR using different copula families is performed on historical financial time series fitted with DCC-GARCH models. A theoretical background is provided alongside a comparison of goodness-of-fit across different copula families to estimate the validity and effectiveness of approaches discussed.

Citations

• Strictly Proper Scoring Rules, Prediction, and Estimation
• MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
• Generalized autoregressive conditional heteroskedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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