Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach

Assessing portfolio vulnerability to systemic risk: a vine copula and APARCH-DCC approach

Abstract This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across five allocation strategies. The novel vine copula captures the compl...

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Bibliographic Details
Main Author: Jules Clement Mba
Format: Article
Language:English
Published: SpringerOpen 2024-01-01
Series:Financial Innovation
Subjects:
Cryptocurrency
Systemic risk
Vulnerability
CoVaR
Online Access:https://doi.org/10.1186/s40854-023-00559-2

Internet

https://doi.org/10.1186/s40854-023-00559-2

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