Rank: 1377 based on 108 downloads (last 30 days) and 6 files submitted
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Ali Najjar

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Actuarial Science, Copula

 

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08 Oct 2012 Estimation value at risk by using Conditional Copula-GARCH Estimating VaR Author: Ali Najjar finance, garch, guassian copula, var, value at risk, conditional copula ga... 40 0
  • 5.0
5.0 | 2 ratings
28 Aug 2012 Screenshot Estimation value at risk by using Exponentially Weighted Moving Averagege Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average Author: Ali Najjar value at risk, var, exponentially weighte..., statistics, finance, ewma 18 1
  • 5.0
5.0 | 1 rating
27 Aug 2012 Screenshot vcVaR Function Estimation value at risk by using Variance-Covariance Method. Author: Ali Najjar value at risk, var, variancecovariance 10 1
  • 4.0
4.0 | 1 rating
19 Jul 2011 fitparp function fitparp estimate the parameters of specified GARCH marginals models Author: Ali Najjar garch, gjr, var, value at risk, auto regressive garch, auto regressive gjr 13 0
14 Jul 2011 fitModelpp function is modified of fitModel function in the Dynamic Copula 3.0 Author: Ali Najjar garch, fitparp, gjr, var, value at risk 12 0
Comments and Ratings on Ali's Files View all
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06 Jun 2013 vcVaR Function Estimation value at risk by using Variance-Covariance Method. Author: Ali Najjar Alessio

Very useful script indeed. Just a small question. Shouldn't it be that the Moving Average VaR be calculate as
VaR(i,j)=W*mu'-sqrt(W*va_co*W')*norminv(cl(j));
instead of
VaR(i,j)=-(W*mu'+sqrt(W*va_co*W')*norminv(cl(j)));
i.e. the portfolio mean is taken as it is (not with negative sign),and the deviation is subtracted from it afterwards.

06 Jun 2013 vcVaR Function Estimation value at risk by using Variance-Covariance Method. Author: Ali Najjar Alessio

06 Apr 2013 Estimation value at risk by using Conditional Copula-GARCH Estimating VaR Author: Ali Najjar phix

19 Mar 2013 Estimation value at risk by using Conditional Copula-GARCH Estimating VaR Author: Ali Najjar Domi

14 Mar 2012 Estimation value at risk by using Exponentially Weighted Moving Averagege Estimating Value at Risk of portfolio by using Exponentially Weighted Moving Average Author: Ali Najjar Zhao, Yang

you mentioned that "cl" is confidence level vector, could you explain what's that mean?

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