Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas

摘要

1 Introduction Even though financial portfolio research focused on risk measurement and risk management during the past decade, the recent financial crisis made evident that there is still a lack of reliable indicators for financial risk. In this paper, we address the accuracy of Value-at-Risk (VaR) predictions based on hybrid DCC-Copulas applicable to higher order portfolios.