English, Article, Journal or magazine article edition: Cópulas - uma alternativa para a estimação de modelos de risco multivariados Pereira, Pedro L. Valls

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Bookmark: http://trove.nla.gov.au/version/80261
Physical Description
  • preprint
Language
  • English

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Title
  • Cópulas - uma alternativa para a estimação de modelos de risco multivariados
Author
  • Pereira, Pedro L. Valls
Physical Description
  • preprint
Notes
  • The biggest challenge in portfolio’s risk measures is to find the best way to aggregaterisks. This aggregation should be done in the way where we can identify the diversification effectrecognized in either asset position or portfólio.For instance, a lot of things has been done for create this definition, for example a Value atRisk (VaR) in the parametric approach uses of an assumption where all the risk factors follow thesame marginal distribution, it will be a normal distribution. In this approach volatility andcorrelation matrix are the most important things for modeling correctly this dependence. InHistorical Simulation approach, this method can be through of as estimating the distribution of theloss operator under the empirical distribution, so statistical estimation of the multivariatedistribution is not necessary.In this case, the Copulas Theory provides a useful alternative because this approach allowsus to create no multivariate distribution where no assumption is necessary for a neither marginaldistribution or multivariate distribution.In this work, we are comparing this methodology with another risk measures approach forexample: Multivariate parametric model’s VaR and an Expected Shortfall – Diagonal VEC,BEKK, EWMA, CCC, DCC – and Historical approach for VaR and ES. For this work we create aportfolio with identical position for all the factor and this factor will be: one year internal interestrate (Pré252), one year external interest rate (Cupom cambial 252), Bovespa Index, Dow JonesIndex.
  • RePEc:fgv:eesptd:179
Language
  • English
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