Results for Using Extreme Value Theory and Copulas to Evaluate Market Risk
This example shows how to model the market risk of a hypothetical global equity index portfolio with a Monte Carlo simulation technique using a Student's t copula and Extreme Value Theory (EVT). The process first extracts the filtered residuals from each return series with an asymmetric GARCH
This example demonstrates computing Value-at-Risk and Conditional Value-at-Risk (expected shortfall) for a portfolio using multivariate copula simulation with fat-tailed marginal distributions. The simulations are then used to compute an efficient frontier of optimal risk-return portfolios.
This example shows how to assess the market risk of a hypothetical global equity index portfolio using a filtered historical simulation (FHS) technique, an alternative to traditional historical simulation and Monte Carlo simulation approaches. FHS combines a relatively sophisticated model-based
market model, the example simulates risk-neutral sample paths of an equity index portfolio and prices basket put options using the technique of Longstaff & Schwartz. Stochastic Differential Equation (SDE) Models Financial Toolbox Computational Finance