The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory. For the proposed measure, the risk associated to a given portfolio is less than the sum of the stand-alone risks of its components. This measure which is value at risk (VaR),...

The main challenge by the study of systemic risk is the measurement of contagion that enables the impact of external movement in one market on other markets. One of the main tools that has been proposed for this purpose is the risk measure ∆CoVaR of Adrian and Brunnermeier (2011). This study...

Long memory is a stylized fact found in most financial return series. In this paper, we seek to examine the impact of the presence of long memory on the dependence structure. First, we fit the multivariate dependence structure using R-vine copulas for pairs of raw and filtered returns. Second,...

The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory. For the proposed measure, the risk associated to a given portfolio is less than the sum of the stand-alone risks of its components. This measure which is value at risk (VaR),...