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@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 a 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, s.~356-366. ISBN~978-0-9860419-7-6.
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