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Paper: eres2007_170
| Paper title: | Risk Management with Copulas |
| Authors: | Goorah, Anish |
| Summary: | Real Estate Risk Management tools are traditionally based on mean-variance analysis. The non-normal behaviour of financial asset returns including real estate securities is a violation of one of the fundamental assumptions of mean-variance analysis. In this paper, the pitfalls of using the correlation coefficient as a measure of dependency is first discussed. The use of Copulas as an alternative to modeling the dependence structure and more generally as a risk-management tool is proposed. Copula based Value-at-Risk computations are also carried out. |
| Type: | |
| Year of publication: | 2007 |
| Series: | ERES:conference |
| Download paper: | |
| Citation: | Goorah, Anish (2007). Risk Management with Copulas. 14th Annual European Real Estate Society Conference in London, UK, http://itc.scix.net/paper/eres2007_170 |
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