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Estimation of Conditional Expected Shortfall Based on Copula Function and ARMA-GARCH Time Series Models with Generalized Error Distribution
Fatemah Alizadeh , Mohammad Amini * , Gholamreza Motashami Borzadaran , Syyed Hashem Tabasi
Abstract:   (25 Views)
Events in one financial institution can affect other institutions. For this reason, systemic risk is of interest to risk analysts, and the most important methods of measuring it are the CoVaR and CoES. If there is a dependence between the returns of two financial institutions, Copula functions can be used to examine the structure of the dependence between them. Since return data are often  are unstable  over time, ARMA-GARCH time series models can be used to model variability. In this paper, CoVaR is evaluated for four copula functions, and then CoES are estimated based on that in ARMA-GARCH models with GED  distributions. Then, these two measures are calculated with the returns of  Tejarat and Mellat banks.
Keywords: Systemic risk, CoVaR, CoES, Copula function
Full-Text [PDF 6997 kb]   (21 Downloads)    
Type of Study: Applied | Subject: Time Series
Received: 2025/02/22 | Accepted: 2025/04/30
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