Using Asymmetric Copulas in Risk Management

D 2017

Using Asymmetric Copulas in Risk Management

JEŘÁBEK, Tomáš

Basic information

Original name

Using Asymmetric Copulas in Risk Management

Authors

JEŘÁBEK, Tomáš (203 Czech Republic, guarantor, belonging to the institution)

Edition

USA, Proceedings of the 30th International Business Information Management Association Conference: Vision 2020: Sustainable Economic development, Innovation Management, and Global Growth, p. 4413-4423, 11 pp. 2017

Publisher

International Business Information Management Association (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

printed version "print"

RIV identification code

RIV/04274644:_____/17:#0000319

Organization unit

University of Finance and Administration

ISBN

978-0-9860419-9-0

UT WoS

000443640503053

EID Scopus

2-s2.0-85048629637

Keywords (in Czech)

Hodnota v riziku; kopulace; řízení rizik; asymetrická závislost

Keywords in English

Value at Risk; Copula Asymmetric Dependence; GARCH Volatility

Abstract

ORIG CZ

V originále

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.

In Czech

Význam měření rizik a efektivnost nástrojů pro řízení rizik se v posledních třech desetiletích dramaticky zvýšily, Value at Risk (VaR) je jedním z nejpopulárnějších přístupů k řízení rizik. Vzhledem ke stále rostoucímu množství aktiv v portfoliích finančních i nefinančních institucí roste potřeba používat nástroje k popisu struktur vícerozměrné závislosti. V této souvislosti je použití funkcí kopula v přímém poměru zvýšeno. Kopule jsou schopny popsat závislosti v normálních tržních podmínkách i v extrémních událostech. Cílem příspěvku je zjistit, jak aplikace asymetrických tříd kopíruje přesnost modelování a prognózování akciového rizika.

Files attached

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Cite

JEŘÁBEK, Tomáš. Using Asymmetric Copulas in Risk Management. In Khalid S. Soliman. 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), 2017, p. 4413-4423. ISBN 978-0-9860419-9-0.

@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  - CONF
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), 2017, p.~4413-4423. ISBN~978-0-9860419-9-0.

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