@inproceedings{164c1bd9278a4b338a8864f3a61aa554,
title = "Managing risk with simulated copula",
abstract = "The aim of this study is verify whether the Average Value at Risk (AVaR) can be a good alternative to Value at Risk (VaR), for estimating great portfolio losses, especially regarding tail events. To do so we use copula framework to estimate dependence between stock returns of a portfolio composed by 94 stock of the S&P100 in order to compute AVaR and VaR and compare the results with respect to a Gaussian Exponentially Weighted Moving Average (EWMA). For computing simulated returns, we use the algorithm presented in [Biglova et all, 2014] and then the model is back-tested with Kupiec's and Christoffersen's tests. The results are coherent with the literature and in particular VaR computed both via copula and EWMA seems to fail to provide an accurate risk measurement while AVaR under copula and EWMA looks more reliable.",
keywords = "Value at Risk, Average Value at Risk, Copula, EWMA model",
author = "M. Malavasi and R. Previtali and S. Ortobelli and C. Nardelli",
year = "2016",
language = "English",
isbn = "9788024839943",
series = "International Scientific Conference",
publisher = "VSB-Technical University of Ostrava",
pages = "538--545",
booktitle = "Managing and Modelling of Financial Risks 2016",
address = "Czech Republic",
note = "8th International Scientific Conference Managing and Modelling of Financial Risks ; Conference date: 05-09-2016 Through 06-09-2016",
}