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International Journal of Management Science and Engineering Management Volume 7, 2012 - Issue 2
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Original Articles

Decomposition of portfolio VaR and expected shortfall based on multivariate Copula simulation

Guobin Fan School of Management and Economics, University of Electronic Science and Technology of China, Chengdu, 610054, P. R. ChinaCorrespondence[email protected]
,
Yong Zeng School of Management and Economics, University of Electronic Science and Technology of China, Chengdu, 610054, P. R. China
&
Woon K. Wong Bristol Business School, University of the West of England, Bristol, BS16 1QY, U. K.
Pages 153-160 | Received 07 Jun 2011, Accepted 12 Mar 2012, Published online: 16 May 2013

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Takaaki Koike & Mihoko Minami. (2019) Estimation of risk contributions with MCMC. Quantitative Finance 19:9, pages 1579-1597.
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Omar Abbara & Mauricio Zevallos. (2017) Portfolio risk decomposition through pair-copula models. Communications in Statistics: Case Studies, Data Analysis and Applications 3:1-2, pages 29-40.
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Saralees Nadarajah, Bo Zhang & Stephen Chan. (2014) Estimation methods for expected shortfall. Quantitative Finance 14:2, pages 271-291.
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Articles from other publishers (2)

Nuntawut Habkhonglek & Paravee Maneejuk. 2022. Credible Asset Allocation, Optimal Transport Methods, and Related Topics. Credible Asset Allocation, Optimal Transport Methods, and Related Topics 613 626 .
Takaaki Koike & Marius Hofert. (2020) Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. Risks 8:1, pages 6.
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