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Document type:
Masterarbeit
Author(s):
Mohamed Maarouf
Title:
Backtesting Value-at-Risk of Financial Data Using Vine Copulas
Translated title:
Backtesting des Value-at-Risk von Finanzdaten mit Vine Copulas
Abstract:
Value-at-Risk (VaR) is a statistical metric that measures the risk of financial investments. More precisely, VaR measures the maximum amount one could lose over a specific time horizon, given a pre-defined confidence level. This is especially important for risk assessments and mitigations. In this talk, a forecasting method of the VaR of a portfolio will be discussed. As stocks tend to share some co-movement and dependence, the modeling is done using a high-dimensional vine copula model. More s...     »
Subject:
MAT Mathematik
DDC:
510 Mathematik
Advisor:
Claudia Czado, Karoline Bax
Date of acceptation:
28.08.2021
Year:
2021
Quarter:
3. Quartal
Year / month:
2021-08
Month:
Aug
Pages:
59
Language:
en
University:
Technische Universität München
Faculty:
Fakultät für Mathematik
TUM Institution:
Professur für Angewandte Mathematische Statistik
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