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...

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Bibliografiske detaljer
Main Authors:	Díaz, Luis Guillermo, Maldonado, Diana A, Salinas, Sandra Milena
Format:	Online
Sprog:	spa
Udgivet:	Universidad Pedagógica y Tecnológica de Colombia 2013
Fag:	extreme value theory copula value at risk dependence returns teoría de valor extremo cópulas valor en riesgo dependencia retornos.
Online adgang:	https://revistas.uptc.edu.co/index.php/cenes/article/view/48

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