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Financial Crisis, Value-at-Risk Forecasts and the Puzzle of Dependency Modeling
Year Of Publication: 2012
Month Of Publication: June
Resource Link: Click here to open
Pages: 13
Download Count: 0
View Count: 1486
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-18-2012
Publisher: Administrator
Summary
In this paper, we analyze VaR estimates based on extreme value theory (EVT) mod-
els combined with parametric copulas. Tails of the return distributions are modeled
via Generalized Pareto Distribution (GPD) approaches applied to GARCH ltered
residuals to capture excess returns. Copula models are used to account for tail
dependence. Drawing on this EVT-GARCH-Copula approach, we evaluate portfo-
lios consisting of German Stocks, market indices and FX-rates, with a data sample
covering both calm and turmoil market phases.
This document may be downloaded without charge from www.efmaefm.org.
This document is published in International Review of Financial Analysis, 2013.
http://dx.doi.org/10.1016/j.irfa.2013.07.006
Author(s)
Berger, Theo Sign in to follow this author
Missong, M. Sign in to follow this author
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