Value-at-Risk Estimation: A Copula-GARCH Approach
The thesis was published by
Sørensen, Kirstine Lykke,
in January 2023,
Aalborg University.
Abstract:
The thesis contains an analysis of the Value-at-Risk of a portfolio consisting of the 10 largest assets of the S&P500 index. The portfolio is constructed as a copula-GARCH model and the risk is evaluated based on Monte Carlo estimations. Moreover, a comparison is made with the parametric Value-at-Risk of the S&P500 Index.