All Outputs (2)

VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING (2022)
Book Chapter
Iqbal, R., Sorwar, G., & Choudhry, T. (2022). VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING. In Advances in Financial Planning and Forecasting (163 - 196). Airiti. https://doi.org/10.6292/AFPF.202212_%2810%29.0007

In this paper, we construct vine copula models for multivariate stock portfolio returns to estimate one-day-ahead and multi-day ahead Value-at-Risk (VaR) and Expected Shortfall (ES) using Monte Carlo simulation. This is then compared with the VaR an... Read More about VINE COPULA APPROACH FOR MULTIVARIATE AND MULTI-DAY AHEAD VALUE AT RISK AND EXPECTED SHORTFALL FORECASTING.

Multiday expected shortfall under generalized t distributions: evidence from global stock market (2020)
Journal Article
Iqbal, R., Sorwar, G., Baker, R., & Choudhry, T. (2020). Multiday expected shortfall under generalized t distributions: evidence from global stock market. Review of Quantitative Finance and Accounting, 55(3), 803-825. https://doi.org/10.1007/s11156-019-00860-1

We apply seven alternative t-distributions to estimate the market risk measures Value at Risk (VaR) and its extension Expected Shortfall (ES). Of these seven, the twin t-distribution (TT) of Baker and Jackson (in Twin t distribution, University of Sa... Read More about Multiday expected shortfall under generalized t distributions: evidence from global stock market.