GumbelCopulaVaR function

Bivariate Gumbel Copule VaR

Derives VaR using bivariate Gumbel or logistic copula with specified inputs for normal marginals.

GumbelCopulaVaR(mu1, mu2, sigma1, sigma2, beta, cl)

Arguments

• mu1: Mean of Profit/Loss on first position
• mu2: Mean of Profit/Loss on second position
• sigma1: Standard Deviation of Profit/Loss on first position
• sigma2: Standard Deviation of Profit/Loss on second position
• beta: Gumber copula parameter (greater than 1)
• cl: VaR onfidece level

Returns

Copula based VaR

Examples

# VaR using bivariate Gumbel for X and Y with given parameters:
   GumbelCopulaVaR(1.1, 3.1, 1.2, 1.5, 1.1, .95)

Author(s)

Dinesh Acharya

References

Dowd, K. Measuring Market Risk, Wiley, 2007.

Dowd, K. and Fackler, P. Estimating VaR with copulas. Financial Engineering News, 2004.