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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Díaz, Luis Guillermo, Maldonado, Diana A, Salinas, Sandra Milena
Fformat:	Online
Iaith:	spa
Cyhoeddwyd:	Universidad Pedagógica y Tecnológica de Colombia 2013
Pynciau:	extreme value theory copula value at risk dependence returns teoría de valor extremo cópulas valor en riesgo dependencia retornos.
Mynediad Ar-lein:	https://revistas.uptc.edu.co/index.php/cenes/article/view/48

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