Archimedean copula in the computation of value-at-risk : an application to Singapore stock market.

• Main Authors: Wu, Daniel Yuelong., Mok, Shiao Wai., Sim, Jian Wei., Tan, Wei Qin.
• Other Authors: Wu Yuan
• Format: Final Year Project
• Language: English
• Published: 2010
• Subjects: DRNTU::Business::Finance::Risk management
• Online Access: http://hdl.handle.net/10356/33745
• Institution: Nanyang Technological University

The Value-at-Risk (VaR) is of central importance in modern financial risk management. Of the various methods that exist to compute the VaR, the most popular are historical simulation, the variance-covariance method. Gaussian Copula approach is preferred over the conventional method to compute VaR be...