MEASURING PORTFOLIO VALUE AT RISK: THE APPLICATION OF COPULA APPROACH

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PISHBAHAR ESMAEIL; ABEDI SAHAR

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2017 | Volume:8 | Issue:30 Page(s): 55-73

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Title

MEASURING PORTFOLIO VALUE AT RISK: THE APPLICATION OF COPULA APPROACH

Author(s)

PISHBAHAR ESMAEIL | ABEDI SAHAR | Issue Writer Certificate

Keywords

MULTIVARIATE VALUE AT RISKQ1

EVALUATION TESTSQ1

COPULA APPROACHQ1

FOOD INDUSTRY EXCHANGEQ1

Abstract

Due to the fact that traditional univariate approach in portfolio value at risk measurements ignore the time varying correlation between its components, these models underestimate or overestimate value at risk. In addition, complex financial markets make it necessary to use effective approaches, such as multivariate risk measurement. Therefore, in this present study, we tried to evaluate four MULTIVARIATE VALUE AT RISK measurement approaches for two portfolios in FOOD INDUSTRY EXCHANGE. The result of Christoffersen, quadratic probability score and root mean squared error tests showed copula-based Monte Carlo approach has more reliable result in comparison with others. Hence, we applied this approach to investigate dependence structure and measure risk, and its result showed the maximum expected loss of dairy portfolio value over a week is 2.01 percent, while for sugar portfolio is 1.09 percent.

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APA: Copy

PISHBAHAR, ESMAEIL, & ABEDI, SAHAR. (2017). MEASURING PORTFOLIO VALUE AT RISK: THE APPLICATION OF COPULA APPROACH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 8(30), 55-73. SID. https://sid.ir/paper/197639/en

Vancouver: Copy

PISHBAHAR ESMAEIL, ABEDI SAHAR. MEASURING PORTFOLIO VALUE AT RISK: THE APPLICATION OF COPULA APPROACH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2017;8(30):55-73. Available from: https://sid.ir/paper/197639/en

IEEE: Copy

ESMAEIL PISHBAHAR, and SAHAR ABEDI, “MEASURING PORTFOLIO VALUE AT RISK: THE APPLICATION OF COPULA APPROACH,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 8, no. 30, pp. 55–73, 2017, [Online]. Available: https://sid.ir/paper/197639/en

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