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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