This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious … distributions. Third, we use multivariate Student t-copula to construct the precious metal portfolio risk dependence structure …. Finally, we simulate 10,000 portfolios and estimate value at risk (VaR) and Expected shortfall (ES). The empirical results …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions—in particular, real-time risk …