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Measuring Value at Risk using Copula Theory

Name: Measuring Value at Risk using Copula Theory
Brand: Our Knowledge Publishing
SKU: 44367840
Price: 36.83 EUR
Availability: InStock
Author: Samia Ben Messaoud
ISBN: 9786206528869

Samia Ben Messaoud

Jezik

Angleščina

Knjiga Mehka

Koda Libristo: 44367840

Založba Our Knowledge Publishing, oktober 2023

This work is devoted to value-at-risk estimation using the copula method. The first part explores ex... Celoten opis

Koda Libristo: 44367840

89 b

36.83 €

Na zalogi pri dobavitelju Odposlali bomo v 8-11 dneh

Do 30 dni za vračilo

This work is devoted to value-at-risk estimation using the copula method. The first part explores extreme value theory. We describe risk modeling and asset volatility. The second part presents a GJR-GARCH version of copulas to analyze asymmetric dependence, measuring complex non-linear relationships among stock index returns. We present a VAR measurement method based on extreme value theory and copula theory. The results show that copula-based methods are better at modeling dependence structure and yield better risk estimates.