ProductCopulaVaR function

Bivariate Product Copule VaR

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

ProductCopulaVaR(mu1, mu2, sigma1, sigma2, 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
• cl: VaR onfidece level

Returns

Copula based VaR

Examples

# VaR using bivariate Product for X and Y with given parameters:
   ProductCopulaVaR(.9, 2.1, 1.2, 1.5, .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.