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Marcelo Brutti Righi and Paulo Sergio Ceretta
''Pair Copula Construction based Expected Shortfall estimation''
( 2013, Vol. 33 No.2 )
In this note we present an algorithm for portfolio ES estimation through Pair Copula Construction. The advantages of this method are the flexibility in what dependence structure is determined, as well as the simplicity of simulation procedures. We illustrate our approach with a brief empirical application with international market indices during a crisis period, comparing with other techniques which are largely applied.
JEL: C4 - Econometric and Statistical Methods: Special Topics
C6 - Mathematical Methods and Programming: General
Manuscript Received : Feb 25 2013 Manuscript Accepted : Apr 18 2013

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