Journal of University of Chinese Academy of Sciences >
Analysis of portfolio VaR by pair copula-GARCH
Received date: 2009-11-03
Revised date: 2010-03-05
Online published: 2010-07-15
We propose a pair copula-GARCH model to analyze the risk of Multi-asset portfolio. Compared to other Copula-GARCH models,our method can capture the tail dependence of different pairs of risk factors in a portfolio so that it can describe the dependence structure of the risk factors better. By using this model combined with Monte Carlo techniques, the numerical analysis of portfolio VaR is fully discussed in this paper. Finally, the empirical portfolio risk analysis is given.
Key words： pair copula; GARCH; Monte Carlo; VaR
HUANG En-Xi , CHENG Xi-Jun . Analysis of portfolio VaR by pair copula-GARCH[J]. Journal of University of Chinese Academy of Sciences, 2010 , 27(4) : 440 -447 . DOI: 10.7523/j.issn.2095-6134.2010.4.002
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