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

Ben Messaoud, Samia

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

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Our Knowledge Publishing
Date d'édition
2023
Langue
anglais
ISBN 10 
6206528863
ISBN 13 
9786206528869
Reliure
Broché
Nombre de pages
52
Coordonnées du fabricant
non disponible
Personne responsable
non disponible