Applying a copula to the estimation of value-at-risk

• Main Authors: Ang, Fang Ting, Shen, Angela Xiao'Ou, Khoo, Isabella Hui Ling
• Other Authors: Wu Yuan
• Format: Final Year Project
• Language: English
• Published: 2013
• Subjects: DRNTU::Business
• Online Access: http://hdl.handle.net/10356/51305
• Institution: Nanyang Technological University

Value-at-Risk (VaR) is a common tool employed in the estimation of market risk. Traditionally, VaR of a portfolio is estimated through an assumption of normally distributed portfolio returns. Yet, as we delve further into the estimation of VaR, we believe that returns are not always normally distrib...