Value-at-Risk Estimation: A Copula-GARCH Approach

Student thesis: Master Thesis and HD Thesis

  • Kirstine Lykke Sørensen
4. term, Mathematics-Economics, Master (Master Programme)
The thesis contains an analysis of the Value-at-Risk of a portfolio consisting of the 10 largest assets of the S&P500 index. The portfolio is constructed as a copula-GARCH model and the risk is evaluated based on Monte Carlo estimations. Moreover, a comparison is made with the parametric Value-at-Risk of the S&P500 Index.
Publication date2 Jun 2023
Number of pages79
ID: 532602731