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@inproceedings{6361, author = {Jeřábek, Tomáš}, address = {USA}, booktitle = {Proceedings of the 30th International Business Information Management Association Conference: Vision 2020: Sustainable Economic development, Innovation Management, and Global Growth}, editor = {Khalid S. Soliman}, keywords = {Value at Risk; Copula Asymmetric Dependence; GARCH Volatility}, howpublished = {tištěná verze "print"}, language = {eng}, location = {USA}, isbn = {978-0-9860419-9-0}, note = {Výsledek vznikl za podpory projektu IGA 7427/2017/05}, pages = {4413-4423}, publisher = {International Business Information Management Association (IBIMA)}, title = {Using Asymmetric Copulas in Risk Management}, year = {2017} }
TY - JOUR ID - 6361 AU - Jeřábek, Tomáš PY - 2017 TI - Using Asymmetric Copulas in Risk Management PB - International Business Information Management Association (IBIMA) CY - USA SN - 9780986041990 N1 - Výsledek vznikl za podpory projektu IGA 7427/2017/05 KW - Value at Risk KW - Copula Asymmetric Dependence KW - GARCH Volatility N2 - Risk measurement importance as well as the efficiency of risk management tools have increased dramatically over the last three decades, Value at Risk (VaR) is one of the most popular risk management approaches. Due to the ever-increasing amount of assets in the portfolios of both financial and non-financial institutions, there is an increasing need to use tools to describe multidimensional dependency structures. In this context, the use of the copula functions is increased in a direct proportion. The copulas are able to describe dependencies in normal market conditions as well as in the extreme events. The aim of the paper is to determine how the application of asymmetric classes copulas in the accuracy of modeling and forecasting equity risk. ER -
JEŘÁBEK, Tomáš. Using Asymmetric Copulas in Risk Management. In Khalid S. Soliman. \textit{Proceedings of the 30th International Business Information Management Association Conference: Vision 2020: Sustainable Economic development, Innovation Management, and Global Growth}. USA: International Business Information Management Association (IBIMA). s.~4413-4423. ISBN~978-0-9860419-9-0. 2017.
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