IDEAS home Printed from https://ideas.repec.org/h/spr/oprchp/978-3-319-00795-3_6.html
   My bibliography  Save this book chapter

Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas

In: Operations Research Proceedings 2012

Author

Listed:
  • Theo Berger

    (University of Bremen)

Abstract

We investigate Value-at-Risk (VaR) estimates based on extreme value theory (EVT) models combined with time varying parametric copulas against competing parametric approaches accounting for dynamic conditional correlations feasible to higher order portfolios. Tails of the return distributions are modeled via Generalized Pareto Distribution (GPD) applied to GARCH filtered residuals to capture excess returns, linked via constant and time varying copulas. Drawing on this EVT-GARCH-Copula, we evaluate portfolios consisting of German Stocks, market indices and FX-rates. However, the empirical results support the dynamic EVT-GARCH-Copula approach, as 99 % VaR forecasts clearly outperform parametric estimates stemming from competing dependency approaches.

Suggested Citation

  • Theo Berger, 2014. "Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas," Operations Research Proceedings, in: Stefan Helber & Michael Breitner & Daniel Rösch & Cornelia Schön & Johann-Matthias Graf von der Schu (ed.), Operations Research Proceedings 2012, edition 127, pages 35-40, Springer.
    • Handle: RePEc:spr:oprchp:978-3-319-00795-3_6
    DOI: 10.1007/978-3-319-00795-3_6
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:oprchp:978-3-319-00795-3_6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.