![]() Furthermore, the stronger the dependence of a random loss to the target loss, in linear correlation, the larger/smaller the conditional mean/variance. It is found that the estimative VaR forecast is more accurate when a copula is employed. In this paper, the quantile-based estimative VaR forecast for dependent random losses is explored through a simulation approach. In practice, we have an estimative VaR forecast in which the distribution parameter vector is replaced by its estimator. In both cases, the VaR forecast is obtained by employing its (conditional) probability distribution of loss data, specifically the quantile of loss distribution. The simulated and real studies show that the model is sufficiently good to find the most appropriate truncation level with a good fit of a given data.Ī Value-at-Risk (VaR) forecast may be calculated for the case of a random loss alone and/or of a random loss that depends on another random loss. This newly proposed truncation method is evaluated in simulation studies and a real application of financial returns dataset. Inspired by the relationship between copula’s parameters (and the corresponding Kendall’s tau) and the mutual information on the one side and the mutual information and copula entropy on another side, this study proposed a novel truncation vine copula model using only mutual information values among variables. However, they are either time-consuming or model-dependent or require additional computational efforts. Attempts have been existing to reduce the model complexity by searching for a subclass of truncation vine copulas, of which only a limited number of vine trees are estimated. They, however, lose their flexibility with dimensions. This shows that vine copula-based forecasting procedure not only performs better but also provides a well-diversified portfolio.īased on (different) bivariate copulas as simple building blocks to model complex multivariate dependency patterns, vine copulas provide flexible multivariate models. In addition, through vine copula, the aggregate VaR forecast has not only lower value but also higher accuracy than the simple sum of individual VaR forecasts. It is found that the VaR forecast of returns, by considering vine copula-based dependence among different returns, has higher forecast accuracy than that of returns under prefect dependence assumption as benchmark. We carry out numerical analysis of cryptocurrencies returns and compute Value-at-Risk (VaR) forecast along with its accuracy assessed through different backtesting methods. The dependence structure is presented through vine copula. ![]() The marginal risk model is assumed to follow a heteroscedastic process of GARCH(1,1) model. In this paper, we construct a dependence modeling for financial risks and form a portfolio risk of cryptocurrencies. It is often that we encounter several risks, in practice, instead of single risk. As much relevant additional detail as possible, for example information about your Mac, cameras and network setup.Risk in finance may come from (negative) asset returns whilst payment loss is a typical risk in insurance.Screenshots to demonstrate what you are describing or to show any relevant settings ( how to capture a screenshot on your Mac).Debug file: open SecuritySpy, click the SecuritySpy menu, and from the Debug submenu, select the option Create Debug File On Desktop.If you are emailing about a problem, please include the following in your email: If your question is not answered by the above resources, email us at and will normally get back to you within one business day. We have a forum where users can ask questions and share experiences. Web server HTTP/RTSP specification Specifications of SecuritySpy's web interfaceĪppleScript Examples AppleScripts to control and automate common tasks Forum Supported Cameras Which cameras are supported by SecuritySpyĬomputer Specifications Calculator Which Mac is required for your planned system IOS/tvOS App Guide How to use the SecuritySpy iPhone, iPad and Apple TV app Installation Manual How to set up and install a SecuritySpy video surveillance system FAQs Common questions and answers about SecuritySpy
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