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Statistics of Financial Markets pp 405–446Cite as

Copulae and Value at Risk

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Abstract

The capital requirement from financial institutions is based on the amount of risk carried in their portfolios.

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Authors and Affiliations

  1. FB Mathematik, TU Kaiserslautern, Erwin-Schrödinger-Str. Gebäude 48, 67663, Kaiserslautern, Germany

    Prof. Dr. Jürgen Franke

  2. Ladislaus von Bortkiewicz Chair of Statistics C.A.S.E. Centre for Applied Statistics and Economics School of Business and Economics, Humboldt-Universität zu Berlin, Unter den Linden 6, 10099, Berlin, Germany

    Prof. Dr. Wolfgang Karl Härdle

  3. Graduate Institute of Statistics, National Central University, Jhongli, Taiwan

    Prof. Dr. Wolfgang Karl Härdle

  4. Inst. Statistique, Université Catholique de Louvain, Voie du Roman Pays 20, 1348, Leuven-la-Neuve, Belgium

    Prof. Dr. Christian Matthias Hafner

Authors
  1. Prof. Dr. Jürgen Franke
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  2. Prof. Dr. Wolfgang Karl Härdle
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  3. Prof. Dr. Christian Matthias Hafner
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Corresponding author

Correspondence to Jürgen Franke .

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© 2011 Springer-Verlag Berlin Heidelberg

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Franke, J., Härdle, W.K., Hafner, C.M. (2011). Copulae and Value at Risk. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-16521-4_17

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