Estimation of risk in a portfolio of assets

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...

書目詳細資料
Main Authors:	Díaz, Luis Guillermo, Maldonado, Diana A, Salinas, Sandra Milena
格式:	Online
語言:	spa
出版:	Universidad Pedagógica y Tecnológica de Colombia 2013
主題:	extreme value theory copula value at risk dependence returns teoría de valor extremo cópulas valor en riesgo dependencia retornos.
在線閱讀:	https://revistas.uptc.edu.co/index.php/cenes/article/view/48

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