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2010•Journal of the Graduate School of the Chinese Academy of SciencesRequires access

Analysis of portfolio VaR by pair copula-GARCH

Huang En

Open publisher page 1 citations

Abstract

We propose a pair copula-GARCH model to analyze the risk of Multi-asset portfolio.Compared to other Copula-GARCH models,our method can capture the tail dependence of different pairs of risk factors in a portfolio so that it can describe the dependence structure of the risk factors better.By using this model combined with Monte Carlo techniques,the numerical analysis of portfolio VaR is fully discussed in this paper.Finally,the empirical portfolio risk analysis is given.

About this research paper

What this paper is about

We propose a pair copula-GARCH model to analyze the risk of Multi-asset portfolio.Compared to other Copula-GARCH models,our method can capture the tail dependence of different pairs of risk factors in a portfolio so that it can describe the dependence structure of the risk factors better.By using this model combined with Monte Carlo techniques,the numerical analysis of portfolio VaR is fully discussed in this paper.Finally,the empirical portfolio risk analysis is given.

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Available abstract

We propose a pair copula-GARCH model to analyze the risk of Multi-asset portfolio.Compared to other Copula-GARCH models,our method can capture the tail dependence of different pairs of risk factors in a portfolio so that it can describe the dependence structure of the risk factors better.By using this model combined with Monte Carlo techniques,the numerical analysis of portfolio VaR is fully discussed in this paper.Finally,the empirical portfolio risk analysis is given.

Key concepts: Copula (linguistics), Autoregressive conditional heteroskedasticity, Portfolio, Econometrics, Portfolio optimization, Monte Carlo method, Computer science, Economics

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