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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F04274644%3A_____%2F18%3A%230000417" target="_blank" >RIV/04274644:_____/18:#0000417 - isvavai.cz</a>
Result on the web
<a href="http://www.hotskolabrno.cz/upload/userfiles/files/JTHC_01_18_def_031018.pdf" target="_blank" >http://www.hotskolabrno.cz/upload/userfiles/files/JTHC_01_18_def_031018.pdf</a>
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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Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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