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Computing risk measures for non-normal asset returns using Copula theory

Author

Listed:
  • Hela Mzoughi

    (University of Sousse)

  • Faysal Mansouri

    (University of Sousse)

Abstract

The article investigates the long memory effect on risk measures such as Value at Risk (VaR) and Conditional Value at Risk (CVaR). In addition to a more realistic representation of data, our results affirm that much more reliable conclusions will certainly be drown if a more classes of Copula functions can be used.

Suggested Citation

  • Hela Mzoughi & Faysal Mansouri, 2013. "Computing risk measures for non-normal asset returns using Copula theory," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(1), pages 59-70, March.
    • Handle: RePEc:chi:journl:v:2:y:2013:i:1:p:59-70
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Value-at-Risk; Conditional Value-at-Risk; Extreme Value Theory; Long memory; Copula.;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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