A nonparametric copula approach to conditional Value-at-Risk

Value-at-Risk and its conditional allegory, which takes into account the available information about economic environment, form centrepiece of Basel framework for evaluation market risk in banking sector. A new nonparametric estimating this is presented. approach particularly pertinent as traditionally used parametric distributions have been shown to be insufficiently robust flexible most equity-return data sets observed practice. The method extracts quantile distribution interest, whose estimation based on a novel estimator density copula describing dynamic dependence series returns. Monte-Carlo simulations real-world back-testing analyses demonstrate potential approach, performance may superior industry counterparts.