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
Authors:	Giacomini, Enzo ; Härdle, Wolfgang
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	Value-at-Risk \| VaR \| portfolio \| copulae

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Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number SFB649DP2005-004 6 pages
Classification:	C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005652756