On the isolated impact of copulas on risk measurement: Asimulation study

Theo Berger

Economic Modelling, 2016, vol. 58, issue C, 475-481

Abstract: This paper quantifies the impact of fundamental copula approaches on applied risk measurement with particular focus on Value-at-Risk (VaR) forecasts.The application of a simulation study reveals the impact of misspecified dependence modeling on VaR forecasts. In particular, accounting for several degrees of joint extreme movements and time varying dependence of the simulated return series, it is the t copula that describes a robust approach to achieve adequate VaR forecasts.

Keywords: Portfolio Value-at-Risk; Copulas; Simulation; Forecasting (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:58:y:2016:i:c:p:475-481

DOI: 10.1016/j.econmod.2015.12.012

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