@inproceedings{9203dffeaa46492c95531080383a969d,
title = "Measuring systemic risk: Vine copula- GARCH Model",
abstract = "We analyze each U.S. Equity sector's risk contribution AVaR, the difference between the Value-At-Risk of a sector and the Value-At-Risk of the system (S&P 500 Index), by using vine Copula-based ARMA-GARCH (1, 1) modeling. Vine copula modeling not only has the advantage of extending to higher dimensions easily, but also provides a more flexible measure to capture an asymmetric dependence among assets. We investigate systemic risk in 10 S&P 500 sector indices in the U.S. sl ock market by forecasting one-day ahead Copula VaR and Copula AVaR during the 2008 financial subprime crisis. Our evidence reveals vine Copula-based ARMA-GARCH (1,1) is the appropriate model to forecast and analyze systemic risk.",
keywords = "Copula, GARCH, Systemic risk, Time series, VaR",
author = "Chen, {Kuan Heng} and Khaldoun Khashanah",
year = "2015",
language = "English",
series = "Lecture Notes in Engineering and Computer Science",
pages = "884--889",
editor = "Craig Douglas and Jon Burgstone and Grundfest, {Warren S.} and Jon Burgstone and Craig Douglas and Ao, {S. I.}",
booktitle = "WCECS 2015 - World Congress on Engineering and Computer Science 2015",
note = "2015 World Congress on Engineering and Computer Science, WCECS 2015 ; Conference date: 21-10-2015 Through 23-10-2015",
}