Authors: | Siburg, Karl Friedrich Stoimenov, Pavel Weiß, Gregor N. F. |
Title: | Forecasting Portfolio-Value-at-Risk with Nonparametric Lower Tail Dependence Estimates |
Language (ISO): | en |
Abstract: | We propose to forecast the Value-at-Risk of bivariate portfolios using copulas which are calibrated on the basis of nonparametric sample estimates of the coefficient of lower tail dependence. We compare our proposed method to a conventional copula-GARCH model where the parameter of a Clayton copula is estimated via Canonical Maximum-Likelihood. The superiority of our proposed model is exemplified by analyzing a data sample of nine different financial portfolios. A comparison of the out-of-sample forecasting accuracy of both models confirms that our model yields economically significantly better Value-at-Risk forecasts than the competing parametric calibration strategy. |
Subject Headings: | Canonical Maximum-Likelihood Copula nonparametric estimation tail dependence Value-at-Risk |
URI: | http://hdl.handle.net/2003/30287 http://dx.doi.org/10.17877/DE290R-10472 |
Issue Date: | 2013-04-29 |
Appears in Collections: | Preprints der Fakultät für Mathematik |
Files in This Item:
File | Description | Size | Format | |
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mathematicalPreprint-2013-04.pdf | 1.03 MB | Adobe PDF | View/Open |
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