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Document type:
Masterarbeit
Author(s):
Philipp Emanuel Maria Sommer
Title:
Estimation and Backtesting of the Expected Shortfall and Value at Risk using Vine Copulas - An unconditional and conditional rolling window approach
Abstract:
Accurate estimation of risk measures for financial portfolios is of great importance equally for financial institutions as well as regulators. Many existing methods lack the ability to adequately incorporate the high dimensional dependence structure of the financial portfolio. In this research we capture the cross dependence of the assets using the flexible class of R-vine copulas and their trend and volatility univariately with ARMA-GARCH models. Given these two components we simulate portfoli...     »
Subject:
MAT Mathematik
DDC:
510 Mathematik
Supervisor:
Claudia Czado
Advisor:
Claudia Czado, Karoline Bax
Date of acceptation:
13.04.2022
Year:
2022
Quarter:
2. Quartal
Year / month:
2022-04
Month:
Apr
Pages:
163
Language:
en
University:
Technische Universität München
Faculty:
Fakultät für Mathematik
TUM Institution:
Professur für Angewandte Mathematische Statistik
Format:
Text
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