Estimating Portfolio Risk with Conditional Joe-Clayton Copula: An Empirical Analysis with Asian Equity Markets

Alper Ozun and Atilla Cifter

The IUP Journal of Financial Economics, 2007, vol. V, issue 3, 28-41

Abstract: Financial modeling in developing markets requires dynamic and complex algorithms, which enable investors to estimate extremes in the returns arising from the chaotic characteristics of those markets. In this research paper, the value-at-risk (VaR) of a portfolio consists of Bombay Stock Exchange Index and Hang Seng Stock Exchange Index from January 02, 2002 to April 19, 2007 estimated by conditional Joe-Clayton copula. The performance of the model is compared with those of EWMA and Delta-Normal by using three different back-testing algorithms: Kupiec test (1995), Christoffersen test (1998) and Berkowitz test (2001). The empirical results show that conditional copula captures the extremes in return distribution of the portfolio more successfully by providing flexible joint distributions and splitting the marginality from the dependencies between the assets in the portfolio.

Date: 2007
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:icf:icfjfe:v:05:y:2007:i:3:p:28-41

Access Statistics for this article

More articles in The IUP Journal of Financial Economics from IUP Publications
Bibliographic data for series maintained by G R K Murty ().