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Register a new userGenerating unfavourable VaR scenarios with patchwork copulas
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Added by
Dietmar Pfeifer Prof. Dr.
Publication date
2020
fields
Financial
and research's language is
English
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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 the insurance industry under Solvency II in the European Union. The method is exemplified with a 19-dimensional real-life data set of insurance losses.
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