Application of Copula-GARCH Method to Estimate VaR of a Portfolio Containing Credit Default Swaps

Conference paper

Jhe-jheng Huang and Leh-chyan So

23rd Annual Conference of the Multinational Finance Society

2016

Abstract

VaR;Copula;GARCH;CDX;VIX

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Title: Application of Copula-GARCH Method to Estimate VaR of a Portfolio Containing Credit Default Swaps
Creators - without role: Jhe-jheng Huang
Leh-chyan So - 國立清華大學科技管理學院計量財務金融學系
Publication Details: 23rd Annual Conference of the Multinational Finance Society
Identifiers: 9957767080006774
Academic Unit: Master Program of Finance and Banking in College of Technology Management, College of Technology Management, National Tsing Hua University
Resource Type: Conference paper