Value-at-Risk (VaR) is one of the most widely used risk measures in the field of risk management. It defines a change in value of a portfolio of financial assets as the minimum amount of money that one could expect to lose with a given probability over a specific time horizon. VaR of a portfolio is determined by the multivariate distribution of risk factors increments. This distribution may be modeled by copulas. In our paper, we show some ideas of the estimation of VaR by using of the copula approach. We apply these ideas to calculate VaR for a portfolio composed of the stock prices of Boeing Co. and General Motors Corp., available from the Dow Jones Industrial Average (DJIA).

1. FULLTEXT: An application of copulas in the Value-at-Risk estimation, Microsoft Office Document, 0.6MB
2. FULLTEXT: An application of copulas in the Value-at-Risk estimation, Microsoft Office Document, 0.4MB

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