The optimal portfolio under VaR and ES

• Authors: Henryk GURGUL , Artur MACHNO
• Languages of publication: EN

Abstracts

EN

An analysis of the dependence structure among certain European indices (FTSE100, CAC40, DAX30, ATX20, PX, BUX and BIST) has been conducted. The main features of the financial data were studied: asymmetry, fat-tailedness (leptokurtosis), variability and mutual dependence. We have fitted a regime switching copula based model including asymmetric and fat-tailed copulas. All the indices are left-skewed and fat-tailed. Large indices are more skewed and less fail-tailed. The findings suggest that size of a market has an influence on its properties. A particular behaviour of the Turkish market suggests the importance of geographical factors. It is also suggested that the maturity of a market is insignificant in the analysis. Another important conclusion drawn from our empirical investigation is that VaR is a less exact risk measure than ES. However, the dynamics of the temporal and statistical properties of both measures are similar

Keywords

EN

value at risk; expected shortfall; interdependence; regime copulas; vine copula

• Publisher: Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
• Journal: Operations Research and Decisions
• Year: 2014
• Volume: 24
• Issue: 2
• Pages: 59-79

Contributors

author

Henryk GURGUL

• AGH University of Science and Technology in Cracow, Department of Applications of Mathematics in Economics

author

Artur MACHNO

• AGH University of Science and Technology in Cracow, Department of Applications of Mathematics in Economics

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Identifiers

DOI

10.5277/ord140203