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

Journal article

Open access

Peer reviewed

Jhe-jheng Huang and Leh-chyan So

The Journal of Mathematical Finance The Journal of Mathematical Finance, Vol.08(02), pp.382-497

01/2018

Abstract

Copula;GARCH;VaR;CDX;VIX

url

https://doi.org/10.4236/jmf.2018.82025View

Published (Version of record) Open

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Title: Application of Copula-GARCH to Estimate VaR of a Portfolio with Credit Default Swaps
Creators - without role: Jhe-jheng Huang - National Tsing Hua University
Leh-chyan So - National Tsing Hua University
Publication Details: The Journal of Mathematical Finance The Journal of Mathematical Finance, Vol.08(02), pp.382-497
Identifiers: 9957770091306774
Academic Unit: Master Program of Finance and Banking in College of Technology Management, College of Technology Management, National Tsing Hua University
Language: English
Resource Type: Journal article