Calculation of Value at Risk of Currency Portfolio for a Typical Bank by GARCH-EVT-Copula Method
The purpose of this study is to calculate Value at Risk (VaR) of a selection of bank's currency portfolio, using GARCH-EVT-Copula (GEC) approach. Today's main challenge of a banking system is to calculate and quantify the risks that the system is encountered. There are numerous approache...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2016-07-01
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| Series: | Faṣlnāmah-i Pizhūhish/hā-yi Iqtiṣādī-i Īrān |
| Subjects: | |
| Online Access: | http://ijer.atu.ac.ir/article_7238_bddcc8d373044e9523557fec0f10c39d.pdf |