Copula modeling of tail dependence in the BRIC countries

The academic book "Copula Modeling of Tail Dependence in the BRIC Countries" by Mathijs Hitzerd offers a comprehensive analysis of risk measurement in the BRIC countries (Brazil, Russia, India, and China) using copula models. It examines the differences between Value-at-Risk (VaR) and Expected Shortfall (ES) from the perspective of a Euro investor. The study utilizes data from January 2007 to December 2010 and compares the results based on normal distribution assumptions with those determined through copulas. The research shows that daily VaR estimates based on copulas can be significantly higher, indicating the existence of tail dependence in the markets studied. These findings are crucial for investors looking to better understand and assess the risks in these emerging markets.