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

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

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  - CONF
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