Generating unfavourable VaR scenarios under Solvency II with patchwork copulas

The central idea of the paper is to present a general simple patchwork construction principle for multivariate copulas that create unfavourable VaR (i.e. Value at Risk) scenarios while maintaining given marginal distributions. This is of particular interest for the construction of Internal Models in...

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Autores principales: Pfeifer Dietmar, Ragulina Olena
Formato: article
Lenguaje:EN
Publicado: De Gruyter 2021
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Acceso en línea:https://doaj.org/article/4b9e0080a72a4fb89a432960302ee97c
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