Title: Value-at-risk and expected shortfall of stock portfolio using skew-$t$ copulas
Authors: Toshinao Yoshiba - Institute of Statistical Mathematics (Japan) [presenting]
Abstract: In financial portfolio risk management, student-$t$ copula is frequently used to capture the tail dependence of risk factors. Azzalini-Capitanio (AC) and Generalized Hyperbolic (GH) skew-$t$ copulas are considered to incorporate asymmetric tail dependence of risk factors. The estimated parameters of the AC skew-$t$, GH skew-$t$, student-$t$, normal copulas by maximum likelihood are examined for the daily returns of three TOPIX sector indices. After the skewness of skew-$t$ copulas is validated both for the unfiltered returns and for the filtered returns by GARCH and EGARCH models, the effect of the skewness on the value-at-risk and expected shortfall of the selected stock portfolio is investigated.