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...

Detaylı Bibliyografya
Asıl Yazarlar:	Díaz, Luis Guillermo, Maldonado, Diana A, Salinas, Sandra Milena
Materyal Türü:	Online
Dil:	spa
Baskı/Yayın Bilgisi:	Universidad Pedagógica y Tecnológica de Colombia 2013
Konular:	extreme value theory copula value at risk dependence returns teoría de valor extremo cópulas valor en riesgo dependencia retornos.
Online Erişim:	https://revistas.uptc.edu.co/index.php/cenes/article/view/48

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