Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO

Ghodratollah Emamverdi

Volume 2, Issue 1 , January 2018, , Pages 93-119

https://doi.org/10.22034/ijf.2018.84957

Abstract
  Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach combining Copula functions, Extreme Value Theory ...  Read More