Long, Tianyu (2024) Estimation of Value-at-Risk by a New Model Based on Gaussian Copula and Standardized Standard Asymmetric Exponential Power Distribution Errors for Sovereign Credit Default Swaps. In: Proceedings of the 3rd International Conference on Mathematical Statistics and Economic Analysis, MSEA 2024, May 24–26, 2024, Jinan, China.
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Abstract
In this paper, we present a novel enhancement to the RiskMetrics methodology initial-ly introduced by J.P. Morgan in 1994. Our approach incorporates a copula-GARCH model combined with an Asymmetric Exponential Power Distribution (AEPD), tai-lored to better address the nuances of Sovereign Credit Def
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 18:02 |
| Last Modified: | 16 Apr 2026 22:42 |
| URI: | http://eprints.eai.eu/id/eprint/50870 |
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