Estimation of risk in a portfolio of assets
This paper introduces the use of extreme value theory (EVT) and copula for the estimation of value at risk (VaR) for a three asset portfolio representative of the Colombian market. Returns on risk factors are adjusted by ARMA GARCH models and innovations for each of them are modeled by Pareto’s gene...
| Main Authors: | , , |
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| Format: | Online |
| Language: | spa |
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Universidad Pedagógica y Tecnológica de Colombia
2013
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| Online Access: | https://revistas.uptc.edu.co/index.php/cenes/article/view/48 |
| _version_ | 1801705916790210560 |
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| author | Díaz, Luis Guillermo Maldonado, Diana A Salinas, Sandra Milena |
| author_facet | Díaz, Luis Guillermo Maldonado, Diana A Salinas, Sandra Milena |
| author_sort | Díaz, Luis Guillermo |
| collection | OJS |
| description | This paper introduces the use of extreme value theory (EVT) and copula for the estimation of value at risk (VaR) for a three asset portfolio representative of the Colombian market. Returns on risk factors are adjusted by ARMA GARCH models and innovations for each of them are modeled by Pareto’s generalized distribution in order to estimate one-day volatility. Copulas are built on the assumption that innovations follow an empirical marginal distribution so as to represent the dependence structure among risk factors. Performance tests for a series of three month VaR estimations show that modeling volatility and dependence through the use of these theories result more appropriate than those based on normality assumptions. |
| format | Online |
| id | oai:oai.revistas.uptc.edu.co:article-48 |
| institution | Revista Apuntes del Cenes |
| language | spa |
| publishDate | 2013 |
| publisher | Universidad Pedagógica y Tecnológica de Colombia |
| record_format | ojs |
| spelling | oai:oai.revistas.uptc.edu.co:article-482022-06-17T21:32:35Z Estimation of risk in a portfolio of assets Estimación del riesgo en un portafolio de activos Díaz, Luis Guillermo Maldonado, Diana A Salinas, Sandra Milena extreme value theory copula value at risk dependence returns teoría de valor extremo cópulas valor en riesgo dependencia retornos. This paper introduces the use of extreme value theory (EVT) and copula for the estimation of value at risk (VaR) for a three asset portfolio representative of the Colombian market. Returns on risk factors are adjusted by ARMA GARCH models and innovations for each of them are modeled by Pareto’s generalized distribution in order to estimate one-day volatility. Copulas are built on the assumption that innovations follow an empirical marginal distribution so as to represent the dependence structure among risk factors. Performance tests for a series of three month VaR estimations show that modeling volatility and dependence through the use of these theories result more appropriate than those based on normality assumptions. Este trabajo introduce el uso de la teoría de valor extremo (EVT) y cópulas para la estimación del valor en riesgo (VaR). Se considera como aplicación a un portafolio compuesto por tres activos representativos del mercado colombiano. Los retornos de los factores de riesgo de los activos se ajustan mediante los modelos ARMA GARCH. Para cada factor de riesgo se modelan las innovaciones a través de la distribución generalizada de Pareto, para la estimación de la volatilidad a un día.De otro lado, las cópulas son construídas asumiendo que las innovaciones siguen una distribución marginal empíricacon el objetivo de caracterizar la estructura de dependencia entre los factores de riesgo.Las pruebas de desempeño del valor en riesgo calculado para tres meses, muestran que modelar la volatilidad y dependencia a través de dichas metodologías esmás apropiado que bajo metodologías basadas en el supuesto de normalidad. Universidad Pedagógica y Tecnológica de Colombia 2013-04-18 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://revistas.uptc.edu.co/index.php/cenes/article/view/48 Apuntes del Cenes; Volumen 29 N° 50: julio - diciembre de 2010; 117-150 Apuntes del Cenes; Volumen 29 N° 50: julio - diciembre de 2010; 117-150 2256-5779 0120-3053 spa https://revistas.uptc.edu.co/index.php/cenes/article/view/48/49 Copyright (c) 2010 Luis Guillermo Díaz, Diana A Maldonado, Sandra Milena Salinas http://creativecommons.org/licenses/by-nc-sa/4.0 |
| spellingShingle | extreme value theory copula value at risk dependence returns teoría de valor extremo cópulas valor en riesgo dependencia retornos. Díaz, Luis Guillermo Maldonado, Diana A Salinas, Sandra Milena Estimation of risk in a portfolio of assets |
| title | Estimation of risk in a portfolio of assets |
| title_alt | Estimación del riesgo en un portafolio de activos |
| title_full | Estimation of risk in a portfolio of assets |
| title_fullStr | Estimation of risk in a portfolio of assets |
| title_full_unstemmed | Estimation of risk in a portfolio of assets |
| title_short | Estimation of risk in a portfolio of assets |
| title_sort | estimation of risk in a portfolio of assets |
| topic | extreme value theory copula value at risk dependence returns teoría de valor extremo cópulas valor en riesgo dependencia retornos. |
| topic_facet | extreme value theory copula value at risk dependence returns teoría de valor extremo cópulas valor en riesgo dependencia retornos. |
| url | https://revistas.uptc.edu.co/index.php/cenes/article/view/48 |
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