| Abstract [eng] |
Recently, investments acquire vogue and it’s necessary to compute the Value at Risk of portfolio. VaR can be computed for portfolio which is made from different finance instruments. But the problem arises when these instruments are interdependent. In order to solve this problem, we compute VaR using copulas. The aim of this work is to pick copulas for real data which is the best for the distribution of the data. At that point compute VaR using selected copulas. The results are: in future time the biggest loss for first portfolio is in the interval 4.43 ant 4.7 Litas, for second portfolio the biggest loss – (2.88, 3.42) ant for third portfolio – (3.29, 5.28). |
