Estimation of Portfolio Value-at-Risk and Expected Shortfall Using Copulas, Extreme Value Theory, and Doubly Noncentral T Distribution

Estimation of Portfolio Value-at-Risk and Expected Shortfall Using Copulas, Extreme Value Theory, and Doubly Noncentral T Distribution

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The theme of this dissertation is to study the estimation of portfolio Value-at-Risk and expected shortfall using the combination of GARCH, extreme value theory, copulas, and doubly noncentral t distribution. It includes three papers.We name this new approach as GARCH-EVT-Copula based Monte Carlo simulation method. ... a senior developer from the Math Works, for providing me the Matlab sample codes on both EVT and copulas. major stock market indices in US.


Title:Estimation of Portfolio Value-at-Risk and Expected Shortfall Using Copulas, Extreme Value Theory, and Doubly Noncentral T Distribution
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Publisher:ProQuest - 2007
ISBN-13:

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