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Extreme Value Theory and Copula Theory: A Risk Management Application with Energy Futures
Company: University of Victoria
Year Of Publication: 2011
Month Of Publication: April
Pages: 187
Download Count: 14
View Count: 2211
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 7-4-2011
Publisher: Administrator
Summary
In the first portion of this dissertation, we use the conditional Extreme Value Theory model to estimate Value-at-Risk (VaR) and Expected Shortfall (ES) for long and short trading positions in the energy markets. The statistical tests on the backtests show that this approach provides a significant improvement over the widely used Normal distribution based VaR and ES models.In the second portion of this dissertation, we extend our analysis from a single security to a portfolio of energy futures. In the third part of this dissertation, we extend our study of bivariate copula models to multivariate copula theory. We employ a pair-copula approach to estimate VaR and ES of a portfolio consisting of energy futures, the S&P 500 index and the US Dollar index.
Author(s)
Liu, Jia Sign in to follow this author
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