In this work we present a Monte Carlo Simulation (MCS) based procedure to estimate portfolio Value-at-Risk (VaR), assuming for the market rsik factors a multivariate log-return distribution different from the conditional Normal one. More precisely, the scenarios for risk factor log-returns are generated from a multivariate distribution with dependence structure represented by a Gaussian copula or a Student's t-copula and with marginal distributions Normal in the centre and Extreme Value Theory (EVT) distributed in the tails. We implement this flexible copula-EVT based VaR model to a sample trading portfolio composed of twenty Italian equities. Our final aim is to obtain an accurate estimate of the portfolio VaR calculated at the 99% and 99.9% probability levels and over a one-day holding period.

Measuring portfolio Value-at-Risk by a copula-EVT based approach / DI CLEMENTE, Annalisa; C., Romano. - STAMPA. - (2004), pp. 1-38. (Intervento presentato al convegno Second European Deloitte Risk Management Conference tenutosi a Antwerp, Belgium nel March 29-30, 2004).

Measuring portfolio Value-at-Risk by a copula-EVT based approach

DI CLEMENTE, Annalisa
;
2004

Abstract

In this work we present a Monte Carlo Simulation (MCS) based procedure to estimate portfolio Value-at-Risk (VaR), assuming for the market rsik factors a multivariate log-return distribution different from the conditional Normal one. More precisely, the scenarios for risk factor log-returns are generated from a multivariate distribution with dependence structure represented by a Gaussian copula or a Student's t-copula and with marginal distributions Normal in the centre and Extreme Value Theory (EVT) distributed in the tails. We implement this flexible copula-EVT based VaR model to a sample trading portfolio composed of twenty Italian equities. Our final aim is to obtain an accurate estimate of the portfolio VaR calculated at the 99% and 99.9% probability levels and over a one-day holding period.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/206252
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