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...

Полное описание

Библиографические подробности
Главные авторы:	Díaz, Luis Guillermo, Maldonado, Diana A, Salinas, Sandra Milena
Формат:	Online
Язык:	spa
Опубликовано:	Universidad Pedagógica y Tecnológica de Colombia 2013
Предметы:	extreme value theory copula value at risk dependence returns teoría de valor extremo cópulas valor en riesgo dependencia retornos.
Online-ссылка:	https://revistas.uptc.edu.co/index.php/cenes/article/view/48

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