Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO
Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach combining Copula functions, Extreme Value The...
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| Format: | Article |
| Language: | English |
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Iran Finance Association
1999-12-01
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| Series: | Iranian Journal of Finance |
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| Online Access: | https://www.ijfifsa.ir/article_84957_f762a12cb9c91e25eda0eae477daa73e.pdf |