GumbelCopulaVaR {Dowd}

Bivariate Gumbel Copule VaR

Description

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

Usage

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

Value

Copula based VaR

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.

Examples

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