Comparison of Archimedean copula and mean variance method in estimating VaR an application to different stock portfolios

• Main Authors: Tian, Cheng, Lin, Yiqing, Fan, Helan
• Other Authors: Wu Yuan
• Format: Final Year Project
• Language: English
• Published: 2011
• Subjects: DRNTU::Business::Finance::Portfolio management
• Online Access: http://hdl.handle.net/10356/43860
• Institution: Nanyang Technological University

Value-at-Risk (VaR) is one of the most important tools used in modern financial risk management. The development of VaR estimation techniques is vibrant in recent decades. Traditional methods such as mean-variance method are popular due to its feasibility and relative accuracy. However, recent resea...