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: | Díaz, Luis Guillermo, Maldonado, Diana A, Salinas, Sandra Milena |
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格式: | Online |
語言: | spa |
出版: |
Universidad Pedagógica y Tecnológica de Colombia
2013
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主題: | |
在線閱讀: | https://revistas.uptc.edu.co/index.php/cenes/article/view/48 |
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