Journal of Yaşar University

Yazarlar: DEMET ÇATAL RAİF SERKAN ALBAYRAK

Konular:-

DOI:10.19168/jyu.59894

Anahtar Kelimeler:VaR,Copula,Mixture Copula,Back Testing.

Özet: Dependence structure set up of financial assets has substantial importance in the performance of Value at Risk calculations. In this article, copula variations that allow modeling of rich dependency structures of financial assets, in particular of Dollar - Euro portfolios are examined. Due to significant dependency regime differences in positive and negative returns, adoption of regional copula mixture is proposed. Performances of traditional VaR calculation methods, copulas and mixture copulas are compared by back testing. Although copulas have been applied to stock returns, bonds and life insurance policies, until now there have been no copula studies related to exchange rates for Turkish markets.

---