Market risk: measurement and backtesting: dynamic copula approach.

Summary This thesis deals with the use of copula functions to measure market risk. Chapter 1, we recall the main results related to copulas: definitions, Sklar's theorem, constructions, matching measures, tail dependence, simulation algorithms. Chapter 2, we propose a non-parametric estimation method based on the notion of tail dependence. We compare it to the omnibus" method. We show that the choice of the best copula can be different according to the method. The results allow us to show the existence of co-movements between the Asian Tigers. In Chapter 3, we develop dynamic methods to compute the Value at Risk and the Expected Shortfall. The choice of the risk measure is discussed in relation to the amendment of the Basel Accord. In Chapter 4, we introduce the notion of dynamic copula for the calculation of Value at Risk. Three statistical tests are proposed in order to validate this calculation method.