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Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

✍ Scribed by Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J.

Book ID
111973021
Publisher
Springer US
Year
2012
Tongue
English
Weight
780 KB
Volume
205
Category
Article
ISSN
0254-5330

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This paper introduces GARCH-EVT-Copula model and applies it to study the risk of foreign exchange portfolio. Multivariate Copulas, including Gaussian, t and Clayton ones, were used to describe a portfolio risk structure, and to extend the analysis from a bivariate to an n-dimensional asset allocatio