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arXiv · 2505.06950

Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH

Aryan Singh·Paul O Reilly·Daim Sharif·Patrick Haughey·Eoghan McCarthy·Sathvika Thorali Suresh·Aakhil Anvar·Adarsh Sajeev Kumar
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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.

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Aryan Singh, Paul O Reilly, Daim Sharif, Patrick Haughey, Eoghan McCarthy, Sathvika Thorali Suresh, Aakhil Anvar, Adarsh Sajeev Kumar. 2025-05-11. Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH. https://arxiv.org/abs/2505.06950

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