文章基本信息

标题：Estimating Value at Risk of Portfolio of Oil and Gold by Copula-GARCH Method
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作者：Saeed Fallahpour ; Ehsan Ahmadi
期刊名称：Financial Research
印刷版ISSN：1024-8153
电子版ISSN：2423-5377
出版年度：2015
卷号：16
期号：2
页码：309-326
出版社：University of Tehran Electronic Journals Database
摘要：Copula functions are powerful tools that describe dependence structure of multi- dimension random variables and are considered as one of the newest tools for risk management. One application of copula functions in risk management is calculating Value at Risk that can assert is the most widely used risk measures in financial institutions. In this article which primary goal is estimating more accurate risk of portfolio, by combining copula functions and GARCH models we used a method called copula-GARCH model for calculating VaR of a portfolio composed of crude oil and gold with data from 2007 to 2012. We will then compare the results with the results of traditional VaR calculation methods. Empirical results indicate that copula-GARCH method measures portfolio risk more accurately in comparison with traditional methods.
关键词：GJR;GARCH;copula