{"product_id":"measuring-value-at-risk-using-copula-theory-von-samia-ben-messaoud","title":"Measuring Value at Risk using Copula Theory","description":"\u003cp\u003eThis work is devoted to value-at-risk estimation using the copula method. The first part explores extreme value theory. We describe risk modeling and asset volatility. The second part presents a GJR-GARCH version of copulas to analyze asymmetric dependence, measuring complex non-linear relationships among stock index returns. We present a VAR measurement method based on extreme value theory and copula theory. The results show that copula-based methods are better at modeling dependence structure and yield better risk estimates.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9786206528869\"\u003e\u003ch3\u003ePortfolio risk measurement during the financial crisis\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9786206528869","offer_id":47227329413445,"sku":"9786206528869","price":43.9,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/60831287-11c3-44b8-a15a-b0b8f6a693c8.jpg?v=1731055318","url":"https:\/\/shop.autorenwelt.de\/products\/measuring-value-at-risk-using-copula-theory-von-samia-ben-messaoud","provider":"Autorenwelt Shop","version":"1.0","type":"link"}