In this paper we use high-frequency multivariate data and attempt to model the joint distribution (dependence structure) of daily KSE-100 returns, S&P 500 and SSE 180 index. We compute portfolio Value at Risk (VaR) using Archimedean copula for three multivariate models, which were used to model...

The aim of this study is to assess and analyze exchange rate risk related to three currencies i.e. Euro, American Dollar and Japanese yen on External Debt Portfolio of Pakistan (EDPP) through different Value-at-risk (VAR) methodologies from year 2001 to 2006. We apply and compare different VAR...

The purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani financial data. It also introduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing financial models for tail related risk measures.

In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the bivariate relationships between U.S. market with Brazilian, Argentinean and Mexican markets. To that we used daily prices of S&P500, Ibovespa, Merval and IPC from January 2009 to December...

This paper investigates whether market information is reliable to predict financial deterioration of large Too Big To Fail banks in Asia. A stepwise logit model is first estimated to isolate the optimal set of accounting indicators to predict rating downgrades. The model is then extended to...