Effectiveness of EVT-Copula Approach in Risk Management

D 2017

Effectiveness of EVT-Copula Approach in Risk Management

JEŘÁBEK, Tomáš, Vladimír ŠEFČÍK and Dana MARTINOVIČOVÁ

Basic information

Original name

Effectiveness of EVT-Copula Approach in Risk Management

Name in Czech

Efektivita přístupu EVT-Copula při řízení rizik

Authors

JEŘÁBEK, Tomáš, Vladimír ŠEFČÍK and Dana MARTINOVIČOVÁ

Edition

Norristown, USA, Proceedings of the 29th International Business Information Management Association Conference - Education Excellence and Innovation Management through Vision 2020: from Regional Development Sustainability to Global Economic Growth, p. 356-366, 11 pp. 2017

Publisher

NT BUSINESS INFORMATION MANAGEMENT ASSOC-IBIMA

Other information

Language

English

Type of outcome

Stať ve sborníku

Field of Study

50200 5.2 Economics and Business

Country of publisher

Czech Republic

Confidentiality degree

není předmětem státního či obchodního tajemství

Publication form

storage medium (CD, DVD, flash disk)

Organization unit

University of Finance and Administration

ISBN

978-0-9860419-7-6

UT WoS

000410252702154

Keywords (in Czech)

VaR, kopule, portfolio

Keywords in English

Value at Risk; Copula; GARCH; EVT; Portfolio

Abstract

ORIG CZ

V originále

Accurate Value at Risk estimations of investment portfolio is crucial in the market risk management context. In recent years, traditional approaches to the VaR estimation, as variance-covariance method, are complemented by more flexible approaches based on the application of copulas. The aim of this paper is to compare the application of EVT-copula approach using five different copula functions with the traditional variance-covariance method. The results show a lack of precision VaR estimates obtained by using the variance-covariance method, particularly in high volatility periods of returns. Conversely, the methods based on the extreme value theory provide more accurate outputs in these periods.

In Czech

Odhad přesné hodnoty v riziku investičního portfolia má zásadní význam v kontextu řízení tržních rizik. V posledních letech jsou tradiční přístupy k odhadu VaR, jako metoda variance-kovariance, doplněny flexibilnějšími přístupy založenými na aplikaci kopulek. Cílem práce je porovnat aplikaci EVT-copula s použitím pěti různých funkcí kopula s tradiční metodou variance-covariance. Výsledky ukazují na nedostatek přesných VaR odhadů získaných použitím metody variance-covariance, zejména v dobách vysokých výkyvů výnosů. Naopak metody založené na teorii extrémních hodnot poskytují v těchto obdobích přesnější výstupy.

Citovat

JEŘÁBEK, Tomáš, Vladimír ŠEFČÍK and Dana MARTINOVIČOVÁ. Effectiveness of EVT-Copula Approach in Risk Management. In Soliman. Proceedings of the 29th International Business Information Management Association Conference - Education Excellence and Innovation Management through Vision 2020: from Regional Development Sustainability to Global Economic Growth. Norristown, USA: NT BUSINESS INFORMATION MANAGEMENT ASSOC-IBIMA, 2017, p. 356-366. ISBN 978-0-9860419-7-6.

@inproceedings{6163,
   author = {Jeřábek, Tomáš and Šefčík, Vladimír and Martinovičová, Dana},
   address = {Norristown, USA},
   booktitle = {Proceedings of the 29th International Business Information Management Association Conference - Education Excellence and Innovation Management through Vision 2020: from Regional Development Sustainability to Global Economic Growth},
   editor = {Soliman},
   keywords = {Value at Risk; Copula; GARCH; EVT; Portfolio},
   howpublished = {paměťový nosič},
   language = {eng},
   location = {Norristown, USA},
   isbn = {978-0-9860419-7-6},
   pages = {356-366},
   publisher = {NT BUSINESS INFORMATION MANAGEMENT ASSOC-IBIMA},
   title = {Effectiveness of EVT-Copula Approach in Risk Management},
   year = {2017}
}

TY  - JOUR
ID  - 6163
AU  - Jeřábek, Tomáš - Šefčík, Vladimír - Martinovičová, Dana
PY  - 2017
TI  - Effectiveness of EVT-Copula Approach in Risk Management
PB  - NT BUSINESS INFORMATION MANAGEMENT ASSOC-IBIMA
CY  - Norristown, USA
SN  - 9780986041976
KW  - Value at Risk
KW  - Copula
KW  - GARCH
KW  - EVT
KW  - Portfolio
N2  - Accurate Value at Risk estimations of investment portfolio is crucial in the market risk management context. In recent years, traditional approaches to the VaR estimation, as variance-covariance method, are complemented by more flexible approaches based on the application of copulas. The aim of this paper is to compare the application of EVT-copula approach using five different copula functions with the traditional variance-covariance method. The results show a lack of precision VaR estimates obtained by using the variance-covariance method, particularly in high volatility periods of returns. Conversely, the methods based on the extreme value theory provide more accurate outputs in these periods.
ER  -

JEŘÁBEK, Tomáš, Vladimír ŠEFČÍK and Dana MARTINOVIČOVÁ. Effectiveness of EVT-Copula Approach in Risk Management. In Soliman. \textit{Proceedings of the 29th International Business Information Management Association Conference - Education Excellence and Innovation Management through Vision 2020: from Regional Development Sustainability to Global Economic Growth}. Norristown, USA: NT BUSINESS INFORMATION MANAGEMENT ASSOC-IBIMA, 2017, p.~356-366. ISBN~978-0-9860419-7-6.

Detailed Information on Publication Record