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.
Language | English |
---|---|
Publication date | 2 Jun 2023 |
Number of pages | 79 |