Abstract
In this paper, we briefly review the basics of copula theory and the problem of estimating Value-at-Risk (VaR) of portfolio composed by several assets. We present two VaR estimation models in which each return series is assumed to follow AR(1)-GARCH(1, 1) model and the innovations are simultaneously generated using Gaussian copula and Student t copula. The presented models are applied to estimate VaR of a portfolio consisting of six currencies to VND. The results are compared with results from two VaR estimation models using AR(1)-GARCH(1, 1) model and the innovations are separately generated using univariate standard normal and Student t distribution.
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The authors are grateful to the anonymous reviewers and editors for their insightful and constructive comments that have helped to improve the presentation of this paper.
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Nguyen, VL., Huynh, VN. (2015). Using Conditional Copula to Estimate Value-at-Risk in Vietnam’s Foreign Exchange Market. In: Huynh, VN., Kreinovich, V., Sriboonchitta, S., Suriya, K. (eds) Econometrics of Risk. Studies in Computational Intelligence, vol 583. Springer, Cham. https://doi.org/10.1007/978-3-319-13449-9_33
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DOI: https://doi.org/10.1007/978-3-319-13449-9_33
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