Estimating Value-at-Risk using a Multivariate Copula-Based Volatility Model [PDF]
This paper proposes a multivariate copula-based volatility model for estimating value-at-Risk in banks of some selected European countries by combining Dynamic Conditional Correlation (DCC) multivariate GARCH (M-GARCH) volatility model and copula ...
Hasim, H, Sampid, M
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TailCoR: A new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements. [PDF]
PLoS One, 2023 Babić S, Ley C, Ricci L, Veredas D.
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MEDICIÓN DE RIESGO EN PORTAFOLIOS APLICANDO UN MODELO GARCH-EVT-COPULA
, 2019 En este trabajo se aborda el problema de calcular medidas de riesgo de un portafolio de divisas, tales como el Valor en Riesgo (VaR) y el Valor en Riesgo Condicional (CVaR), por lo que se requiere estimar la distribución conjunta de los rendimientos del portafolio.
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Estimating Extreme Value at Risk Using Bayesian Markov Regime Switching GARCH-EVT Family Models
In this study, the performance of the Bayesian Markov regime-switching GARCH-EVT in the estimation of extreme value at risk in the BitCoin/dollar (BTC/USD) and the South African Rand/dollar (ZAR/USD) exchange rates is investigated. The goal is to capture regime switches and extreme returns to exchange rates, all to explain and compare the riskiness of ...
Thabani Ndlovu, Delson Chikobvu
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Scenario generation for financial data: a machine learning dynamic copula approach based on realized volatility and correlation [PDF]
Portfolio optimization is a fundamental issue in quantitative finance, and scenario generation techniques play a vital role in simulating the future behavior of assets for use in allocation strategies.
Caio Mário Henriques Silva da Rocha Mesquita
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Looking at Extremes without Going to Extremes: A New Self-Exciting Probability Model for Extreme Losses in Financial Markets. [PDF]
Entropy (Basel), 2020 Bień-Barkowska K.
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Oil and gold return spillover and stock market elasticity during COVID-19 pandemic: A comparative study between the stock markets of oil-exporting countries and oil-importing countries in the Middle East. [PDF]
Resour Policy, 2022 Bani-Khalaf O, Taspinar N.
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Extreme Value Theory in Tail Risk Forecasting [PDF]
Kandidaatin tutkielma pyrkii selittämään kattavasti rahoitusmarkkinoilla käytetyt riski- ja ennustusmallit painottaen niiden teoreettista taustaa Portfolio teorian, ääriarvo teorian ja normaali jakautuneiden osaketuottojen teorian kautta, ja ...
Ruusunen, Niklas
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Value at Risk: A Comparative Analysis [PDF]
study develops a comparative analysis concerning Value at Risk measure for a portfolio consisting of three stocks traded at Bucharest Stock Exchange. The analysis set out from 1-day, 1% VaR and has been extended in two directions: the volatility models ...
Filip Iorgulescu
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