Record number :
Title of article :
Estimating value at risk of portfolio by conditional copula-GARCH method
Author/Authors :
Huang، نويسنده , , Jen-Jsung and Lee، نويسنده , , Kuo-Jung and Liang، نويسنده , , Hueimei and Lin، نويسنده , , Wei-Fu، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Pages :
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Abstract :
Copula functions represent a methodology that describes the dependence structure of a multi-dimension random variable and has become one of the most significant new tools to handle risk factors in finance, such as Value-at Risk (VaR), which is probably the most widely used risk measure in financial institutions. Combining copula and the forecast function of the GARCH model, this paper proposes a new method, called conditional copula-GARCH, to compute the VaR of portfolios. This work presents an application of the copula-GARCH model in the estimation of a portfolio’s VaR, composed of NASDAQ and TAIEX. The empirical results show that, compared with traditional methods, the copula model captures the VaR more successfully. In addition, the Student- t copula describes the dependence structure of the portfolio return series quite well.
Keywords :
Copula , GARCH , VAR
Journal title :
Insurance Mathematics and Economics
Link To Document :