JEŘÁBEK, Tomáš. EVT-GARCH-COPULA APPROACH IN VALUE AT RISK ESTIMATION AND BACKTESTING. Journal of Tourism, Hospitality and Commerce. Brno: Vysoká škola obchodní a hotelová s.r.o., 2018, vol. 9, No 1, p. 54-64. ISSN 1804-3836. |
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@article{7308, author = {Jeřábek, Tomáš}, article_location = {Brno}, article_number = {1}, keywords = {Value at Risk; Copula; GARCH; EVT; Portfolio}, language = {eng}, issn = {1804-3836}, journal = {Journal of Tourism, Hospitality and Commerce}, title = {EVT-GARCH-COPULA APPROACH IN VALUE AT RISK ESTIMATION AND BACKTESTING}, url = {http://www.hotskolabrno.cz/upload/userfiles/files/JTHC_01_18_def_031018.pdf}, volume = {9}, year = {2018} }
TY - JOUR ID - 7308 AU - Jeřábek, Tomáš PY - 2018 TI - EVT-GARCH-COPULA APPROACH IN VALUE AT RISK ESTIMATION AND BACKTESTING JF - Journal of Tourism, Hospitality and Commerce VL - 9 IS - 1 SP - 54-64 EP - 54-64 PB - Vysoká škola obchodní a hotelová s.r.o. SN - 18043836 KW - Value at Risk KW - Copula KW - GARCH KW - EVT KW - Portfolio UR - http://www.hotskolabrno.cz/upload/userfiles/files/JTHC_01_18_def_031018.pdf L2 - http://www.hotskolabrno.cz/upload/userfiles/files/JTHC_01_18_def_031018.pdf 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. EVT-GARCH-COPULA APPROACH IN VALUE AT RISK ESTIMATION AND BACKTESTING. \textit{Journal of Tourism, Hospitality and Commerce}. Brno: Vysoká škola obchodní a hotelová s.r.o., 2018, vol.~9, No~1, p.~54-64. ISSN~1804-3836.
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