Name: Measuring Value at Risk using Copula Theory
Price: 1703.00 TWD
Availability: InStock
Author: Ben Messaoud, Samia
ISBN: 9786206528869

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Measuring Value at Risk using Copula Theory

Type

Physical Book

Author

Samia Ben Messaoud

Publisher

Our Knowledge Publishing

Language

English

Pages

Format

Paperback

Dimensions

22.9 x 15.2 x 0.3 cm

Weight

0.09 kg.

ISBN13

9786206528869

Synopsis "Measuring Value at Risk using Copula Theory"

This work is devoted to value-at-risk estimation using the copula method. The first part explores extreme value theory. We describe risk modeling and asset volatility. The second part presents a GJR-GARCH version of copulas to analyze asymmetric dependence, measuring complex non-linear relationships among stock index returns. We present a VAR measurement method based on extreme value theory and copula theory. The results show that copula-based methods are better at modeling dependence structure and yield better risk estimates.

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Measuring Value at Risk using Copula Theory - Ben Messaoud, Samia

Synopsis "Measuring Value at Risk using Copula Theory"

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