MONTE CARLO-COPULA-GARCH FOR PREDICTING VALUE-AT-RISK OF TWO ASSETS PORTFOLIO
Monte Carlo Simulation is the most popular method for analyzing risk measurements. This method gives more adequate result than any other methods, i.e., Historical Simulation and Delta Method . Predicting risk measurements, such as Value-at-Risk, in finance framework, generally involves more than one...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/24746 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Monte Carlo Simulation is the most popular method for analyzing risk measurements. This method gives more adequate result than any other methods, i.e., Historical Simulation and Delta Method . Predicting risk measurements, such as Value-at-Risk, in finance framework, generally involves more than one investment asset, called portfolio asset. Copula is the most useful tool to describes the dependence of a <br />
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multi-dimension random variable asset. This final project is combining Copula with Monte Carlo Simulation and the time series model, such as GARCH, for predicting VaR two assets portfolio, composed of NASDAQ and TWIEX. The result show that Copula t - GARCH(1,0) with t innovation can predict VaR more successfully than the other Copula family and the other time series model. |
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