VaR model based on copulas and EVT
Posted: February 25th, 2014, 3:25 pm
Hi,I am currently trying to develop a VaR model for an equity portfolio which incorporates EVT and copulas. Currently i am working with excel but in the near future i will implement a similar model in matlab. I would like to know whether somebody has an excel file which fits the description above or a similar even if its just a copula model. I am quite new to the field of copulas so i would appreciate any insights. best regards