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NTIS 바로가기응용통계연구 = The Korean journal of applied statistics, v.34 no.6, 2021년, pp.875 - 887
안광준 (성균관대학교 통계학과) , 백창룡 (성균관대학교 통계학과)
Value at Risk (VaR) is the most popular measure for market risk. In this paper, we consider the VaR estimation of portfolio consisting of a variety of assets based on multivariate copula model known as vine copula. In particular, sparse vine copula which penalizes too many parameters is considered. ...
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