Measuring portfolio Value-at-Risk by a Bayesian CEVT-Copula based approach
碩士 === 國立彰化師範大學 === 企業管理學系 === 95 === In this paper, we estimate portfolio’s 99% Value-at-Risk of 5 Asian countries’ index equity over a one-day holding period with a Bayesian CEVT-Copula based approach. In order to test the effectiveness of this model we perform a backtest procedure and calculate t...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
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2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36934366687694064883 |
| Summary: | 碩士 === 國立彰化師範大學 === 企業管理學系 === 95 === In this paper, we estimate portfolio’s 99% Value-at-Risk of 5 Asian countries’ index equity over a one-day holding period with a Bayesian CEVT-Copula based approach. In order to test the effectiveness of this model we perform a backtest procedure and calculate the root mean squared errors over a time window of 645 days, proving that the Bayesian EVT-Copula based approach performs better than Historical Simulation(overestimate) and Conditional Normal(underestimate).
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