Value-at-Risk Calculations with Time Varying Copulae

Value-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This distribution can be modelled through copulae, where the copulae parameters are not necessarily constant over time. For an exchange rate portfolio, copulae with time varying parameters are estimated and the VaR simulated accordingly. Backtesting underlines the improved performance of time varying copulae.

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Year of publication:	2005-02-10
Authors:	Giacomini, Enzo ; Härdle, Wolfgang
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Value at Risk \| Risikomanagement \| risk management \| Kopula

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Extent:	601088 bytes 6 p. application/pdf
Series:	Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere Diskussionspapier ; 2005-004
Type of publication:	Book / Working Paper
Language:	English
ISSN:	1860-5664
Classification:	Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

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