Analysis of portfolio VaR by time-varying pair-copula
Jie Cao, Cheng Xi-jun · 2011
A pair-copula method was used to construct the practical distribution of multiple asset returns and joint distribution function of dependency for studying portfolio.Then,time-varying pair-copula was obtained by the bivariate time-varying copula instead of the bivariate static copula.With Monte Carlo simulation technique,the calculation method of portfolio VaR was given.Finally,the advantage and feasibility of this model are proved through empirical analysis.