Estimation of risk in a portfolio of assets
This paper introduces the use of extreme value theory (EVT) and copula for the estimation of value at risk (VaR) for a three asset portfolio representative of the Colombian market. Returns on risk factors are adjusted by ARMA GARCH models and innovations for each of them are modeled by Pareto’s gene...
- Autores:
- Tipo de recurso:
- http://purl.org/coar/resource_type/c_7035
- Fecha de publicación:
- 2013
- Institución:
- Universidad Pedagógica y Tecnológica de Colombia
- Repositorio:
- RiUPTC: Repositorio Institucional UPTC
- Idioma:
- spa
- OAI Identifier:
- oai:repositorio.uptc.edu.co:001/11660
- Acceso en línea:
- https://revistas.uptc.edu.co/index.php/cenes/article/view/48
https://repositorio.uptc.edu.co/handle/001/11660
- Palabra clave:
- extreme value theory
copula
value at risk
dependence
returns
teoría de valor extremo
cópulas
valor en riesgo
dependencia
retornos.
- Rights
- License
- Copyright (c) 2010 Luis Guillermo Díaz, Diana A Maldonado, Sandra Milena Salinas