Forecasting Portfolio-Value-at-Risk with Nonparametric Lower Tail Dependence Estimates
| dc.contributor.author | Siburg, Karl Friedrich | |
| dc.contributor.author | Stoimenov, Pavel | |
| dc.contributor.author | Weiß, Gregor N. F. | |
| dc.date.accessioned | 2013-04-29T14:13:06Z | |
| dc.date.available | 2013-04-29T14:13:06Z | |
| dc.date.issued | 2013-04-29 | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/30287 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-10472 | |
| dc.language.iso | en | |
| dc.subject | Canonical Maximum-Likelihood | de |
| dc.subject | Copula | en |
| dc.subject | nonparametric estimation | en |
| dc.subject | tail dependence | en |
| dc.subject | Value-at-Risk | en |
| dc.subject.ddc | 610 | |
| dc.title | Forecasting Portfolio-Value-at-Risk with Nonparametric Lower Tail Dependence Estimates | en |
| dc.type | Text | de |
| dc.type.publicationtype | preprint | en |
| dcterms.accessRights | open access |