2005-02-10Buch DOI: 10.18452/3870
Value-at-Risk Calculations with Time Varying Copulae
Value-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This distribution can be modelled through copulae, where the copulae parameters are not necessarily constant over time. For an exchange rate portfolio, copulae with time varying parameters are estimated and the VaR simulated accordingly. Backtesting underlines the improved performance of time varying copulae.
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