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Copulas - Uma Alternativa para a Estimacao de Modelos de Risco Multivariados
Company: Management Solutions
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: July
Pages: 39
Download Count: 323
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 7-26-2007
Publisher: Administrator
Summary
The biggest challenge in portfolio’s risk measures is to find the best way to aggregaterisks. This aggregation should be done in the way where we can identify the diversification effectrecognized in either asset position or portfólio.For instance, a lot of things has been done for create this definition, for example a Value atRisk (VaR) in the parametric approach uses of an assumption where all the risk factors follow thesame marginal distribution, it will be a normal distribution. In this approach volatility andcorrelation matrix are the most important things for modeling correctly this dependence. InHistorical Simulation approach, this method can be through of as estimating the distribution of theloss operator under the empirical distribution, so statistical estimation of the multivariatedistribution is not necessary.In this case, the Copulas Theory provides a useful alternative because this approach allowsus to create no multivariate distribution where no assumption is necessary for a neither marginaldistribution or multivariate distribution.In this work, we are comparing this methodology with another risk measures approach forexample: Multivariate parametric model’s VaR and an Expected Shortfall – Diagonal VEC,BEKK, EWMA, CCC, DCC – and Historical approach for VaR and ES. For this work we create aportfolio with identical position for all the factor and this factor will be: one year internal interestrate (Pré252), one year external interest rate (Cupom cambial 252), Bovespa Index, Dow Jones
Author(s)
Pereira, Denis E. Sign in to follow this author
Pereira, Pedro L Valls Sign in to follow this author
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