Articoli correlati a Measuring Value at Risk using Copula Theory: Portfolio...

Measuring Value at Risk using Copula Theory: Portfolio risk measurement during the financial crisis - Brossura

Ben Messaoud, Samia

 
9786206528869: Measuring Value at Risk using Copula Theory: Portfolio risk measurement during the financial crisis
Brossura
ISBN 10: 6206528863 ISBN 13: 9786206528869
Casa editrice: Our Knowledge Publishing, 2023

Sinossi

This work is devoted to value-at-risk estimation using the copula method. The first part explores extreme value theory. We describe risk modeling and asset volatility. The second part presents a GJR-GARCH version of copulas to analyze asymmetric dependence, measuring complex non-linear relationships among stock index returns. We present a VAR measurement method based on extreme value theory and copula theory. The results show that copula-based methods are better at modeling dependence structure and yield better risk estimates.

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Editore
Our Knowledge Publishing
Data di pubblicazione
2023
Lingua
Inglese
ISBN 10 
6206528863
ISBN 13 
9786206528869
Rilegatura
Copertina flessibile
Numero di pagine
52
Contatto del produttore
non disponibile
Persona responsabile
non disponibile