[ABE-L] Fwd: FW: HOJE: Seminário Acadêmico de Economia com Flavio A. Ziegelmann da UFRGS, dia 31/05 às 12h, sala Paulo Renato de Souza - 2º andar

[Hedibert Lopes]

From: Insper - Seminários Acadêmicos <seminariosacademicos em insper.edu.br>
Date: Friday, May 20, 2016 at 11:17 AM
To: Insper - Seminários Acadêmicos <seminariosacademicos em insper.edu.br>
Subject: HOJE: Seminário Acadêmico de Economia com Flavio A. Ziegelmann da
UFRGS, dia 31/05 às 12h, sala Paulo Renato de Souza - 2º andar


*Dynamic Copulas and Market Risk Forecasting*

*Palestrante:*

Flavio A. Ziegelmann
UFRGS

In this talk we propose forecasting portfolio market risk measures, such as
Value at Risk (VaR) and Expected Shortfall (ES), via dynamic copula
modelling. For that we describe several dynamic copula models, from naive
ones to complex factor copulas. The last are able to tackle the curse of
dimensionality whereas simultaneously introducing a high level of
complexity into the model. We start with bi-dimensional copulas, then go to
vine copulas when increasing moderately the dimension and finally jump to
factor copulas for high dimensional portfolios. In the factor copula case
we allow different levels of flexibility for the dependence parameters
which are driven by a GAS (Generalized Autorregressive Scores) model. Along
the talk, we show some numerical analyses for both simulated and real data
sets.

*Data:*

31 de maio de 2016 (terça-feira)

*Horário:*

12h

*Local:*

*Campus* Insper
Rua Quatá, 300 - Vila Olímpia
Sala Paulo Renato de Souza – 2º andar
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