2017
Effectiveness of EVT-Copula Approach in Risk Management
JEŘÁBEK, Tomáš, Vladimír ŠEFČÍK and Dana MARTINOVIČOVÁBasic 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
Proceedings paper
Field of Study
50200 5.2 Economics and Business
Country of publisher
Czech Republic
Confidentiality degree
is not subject to a state or trade secret
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
Tags
Reviewed
Changed: 30/10/2017 10:12, Ing. Dominika Moravcová
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.