Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH
Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH ArXiv ID: 2505.06950 “View on arXiv” Authors: Aryan Singh, Paul O Reilly, Daim Sharif, Patrick Haughey, Eoghan McCarthy, Sathvika Thorali Suresh, Aakhil Anvar, Adarsh Sajeev Kumar Abstract A multivariate risk analysis for VaR and CVaR using different copula families is performed on historical financial time series fitted with DCC-GARCH models. A theoretical background is provided alongside a comparison of goodness-of-fit across different copula families to estimate the validity and effectiveness of approaches discussed. ...