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...
| Autori principali: | , , |
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| Natura: | Online |
| Lingua: | spa |
| Pubblicazione: |
Universidad Pedagógica y Tecnológica de Colombia
2013
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| Soggetti: | |
| Accesso online: | https://revistas.uptc.edu.co/index.php/cenes/article/view/48 |
