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Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
Year Of Publication: 2011
Month Of Publication: October
Pages: 32
Download Count: 2
View Count: 1556
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 3-27-2013
Publisher: Administrator
We develop a regular vine copula based factor model for asset returns, the Regular Vine Market Sector model, that is motivated by the classical CAPM and shown to be superior to the CAVA model proposed by Heinen and Valdesogo (2009). While the model can also be used to separate the systematic and idiosyncratic risk of speci c stocks, we explicitly discuss how vine copula models can be employed for active and passive portfolio management. In particular, Value-at-Risk forecasting and asset allocation are treated in detail. All developed models and methods are used to analyze the Euro Stoxx 50 index, a major market indicator for the Eurozone.
This document if published in Statistics & Risk Modeling (volume 30, number 4) December 2013, 307-342.
Brechmann, Elke C. Sign in to follow this author
Czado, Claudia Sign in to follow this author
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