Forecasting value-at-risk using time varying copulas and EVT return distributions

Theo Berger

International Economics, 2013, issue 133, 93-106

Abstract: Forecasting portfolio risk requires both, estimation of marginal return distributions for individual assets and the dependence structure of returns as well. In this paper, we concentrate on Value at Risk as a popular risk measure and combine elliptical copulas with time varying Dynamic Conditional Correlation (DCC) matrices and Extreme Value Theory (EVT) based models for the marginal return distributions. The approach leads to reliable Value-at-Risk figures with respect to several backtesting criteria. Feasibility and accuracy of the approach is corroborated by an extensive empirical application to different financial portfolios consisting of stocks, market indices and FX-rates.

Keywords: Portfolio value-at-risk; Elliptical copulas; Dynamic conditional correlations; Extreme value theory (search for similar items in EconPapers)
JEL-codes: C58 G01 G11 (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2110701713000036 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cii:cepiie:2013-q1-133-6

Access Statistics for this article

More articles in International Economics from CEPII research center Contact information at EDIRC.
Bibliographic data for series maintained by ().