Value-at-Risk Calculations with Time Varying Copulae
Value-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This distribution can be modelled through copulae, where the copulae parameters are not necessarily constant over time. For an exchange rate portfolio, copulae with time varying parameters are estimated and the VaR simulated accordingly. Backtesting underlines the improved performance of time varying copulae.
|Date of creation:||Feb 2005|
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- Härdle, Wolfgang & Herwartz, Helmut & Spokoiny, Vladimir G., 2001.
"Time inhomogeneous multiple volatility modelling,"
SFB 373 Discussion Papers
2001,7, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Wolfgang Haerdle & Helmut Herwartz & Volodia Spokoiny, 2000. "Time Inhomogeneous Multiple Volatility Modelling," Econometric Society World Congress 2000 Contributed Papers 1429, Econometric Society.
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