Dynamics of value at risk: copula-VAR approach optimized with PSO meta-heuristic algorithm

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NADIRI MOHAMMAD; Mehrjoo Majid; NADERI JALAL

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Journal Paper

Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2022 | Volume:10 | Issue:37 Page(s): 1-28

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Information Journal Paper

Title

Dynamics of value at risk: copula-VAR approach optimized with PSO meta-heuristic algorithm

Author(s)

NADIRI MOHAMMAD | Mehrjoo Majid | NADERI JALAL | Issue Writer Certificate

Keywords

VaR Estimation

MCAViaR Model

Copula

Optimization

PSO Meta-Heuristic Algorithm

Abstract

Introduction: Value at Risk (VaR) is a measure for estimating potential portfolio losses due to market risk (Yu et al., 2018). Despite the simple concept, measuring the VaR is a difficult statistical problem due to the normality assumption and time-varying conditional quantiles. The introduction of CAViaR model and its extent to the multivariate CAViaR approach (MCAViaR) have solved these deficiencies. The main drawback of this model is that it only considers linearly conditioned quantiles. Furthermore, there is some instability in the Optimization technique, which does not always ensure convergence to the unique minimizer. To address these issues, Copula models have been developed that provide a flexible non-linear multivariate representation among quantiles. Copula functions are easily able to extend the measurement of market risk to a multivariate state (Hotta, Lucas, Palaro, 2008). In this study, we present the VaR model that establishes a nonlinear relationship between univariate quantiles estimated by univariate CAViaR models. An important parameter of Copula functions is the degree of dependency between tail distributions, the incorrect estimation of which also leads to inaccurate interpretation. The portfolio dependency coefficient was calculated using optimized Copula models and thePSO Meta-Heuristic Algorithm...

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APA: Copy

NADIRI, MOHAMMAD, Mehrjoo, Majid, & NADERI, JALAL. (2022). Dynamics of value at risk: copula-VAR approach optimized with PSO meta-heuristic algorithm. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 10(37 ), 1-28. SID. https://sid.ir/paper/1051118/en

Vancouver: Copy

NADIRI MOHAMMAD, Mehrjoo Majid, NADERI JALAL. Dynamics of value at risk: copula-VAR approach optimized with PSO meta-heuristic algorithm. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2022;10(37 ):1-28. Available from: https://sid.ir/paper/1051118/en

IEEE: Copy

MOHAMMAD NADIRI, Majid Mehrjoo, and JALAL NADERI, “Dynamics of value at risk: copula-VAR approach optimized with PSO meta-heuristic algorithm,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 10, no. 37 , pp. 1–28, 2022, [Online]. Available: https://sid.ir/paper/1051118/en

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