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Value at Risk – MATLAB Application of Copulas on US and Indian Markets
Company: BIMTECH
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: April
Pages: 18
Download Count: 52
View Count: 2520
Comment Num: 0
Language: English
Who Can Read: Free
Date: 5-2-2010
Publisher: Administrator
Summary
Diversification globally has become a style more than a strategy and the need of the hour boils
down to the efficient investment identification, better diversification of the risk, and better risk –
adjusted return. One of the ways of such diversification is the investment in the indices, which
has a portfolio of varied securities, globally. Such an investment immediately calls for a better
exposure measurement to analyse the various investment parameters such as the portfolio
variance, the Value at Risk, the associated return, the End Tail Loss and so on. This paper
measures one such parameter, the Value at Risk (VaR) using the bivariate Gaussian Copula
distribution implemented in MATLAB for the Dow-Jones index and the National Stock
Exchange index. From a business point of view, with huge investments being made in India by
Foreign Institutional Investors (FIIs) and vice-versa, this study holds much relevance with the
risk identification and its mitigation. Retail investors
Author(s)
Agarwal, Ravi Sign in to follow this author
Vignesh, R. Sign in to follow this author
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