In this paper,we briefly reviewthe basics of copula theory and the problem of estimating Value-at-Risk (VaR) of portfolio composed by several assets. We present two VaR estimation models in which each return series is assumed to follow AR(1)-GARCH(1, 1) model and the innovations are simultaneously generated using Gaussian copula and Student t copula. The presented models are applied to estimate VaRof a portfolio consisting of six currencies to VND. The results are compared with results from two VaR estimation models using AR(1)-GARCH(1, 1) model and the innovations are separately generated using univariate standard normal and Student t distribution.
CITATION STYLE
Nguyen, V. L., & Huynh, V. N. (2015). Using conditional copula to estimate value-at-risk in vietnam’s foreign exchange market. Studies in Computational Intelligence, 583, 471–482. https://doi.org/10.1007/978-3-319-13449-9_33
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