EVT-GARCH-COPULA APPROACH IN VALUE AT RISK ESTIMATION AND BACKTESTING

Result code in IS VaVaI

RIV/04274644:_____/18:#0000417 - isvavai.cz

Result on the web

http://www.hotskolabrno.cz/upload/userfiles/files/JTHC_01_18_def_031018.pdf

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

EVT-GARCH-COPULA APPROACH IN VALUE AT RISK ESTIMATION AND BACKTESTING

Original language description

Accurate Value at Risk estimations of investment portfolio is crucial in the market risk management context. In recent years, traditional approaches to the VaR estimation, as variance-covariance method, are complemented by more flexible approaches based on the application of copulas. The aim of this paper is to compare the application of EVT-copula approach using five different copula functions with the traditional variance-covariance method. The results show a lack of precision VaR estimates obtained by using the variance-covariance method, particularly in high volatility periods of returns. Conversely, the methods based on the extreme value theory provide more accurate outputs in these periods.

Czech name

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Czech description

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Type

J_ost - Miscellaneous article in a specialist periodical

CEP classification

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OECD FORD branch

50200 - Economics and Business

Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of Tourism, Hospitality and Commerce

ISSN

1804-3836

e-ISSN

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Volume of the periodical

9

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

11

Pages from-to

54-64

UT code for WoS article

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EID of the result in the Scopus database

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