Estimating VaR of portfolio by conditional copula-GARCH method C ontents 1. Introduction .. 1 2. Theory of copula .. 1 2.1 Introduction to copula .. 1 2.2 Copula family .. 2 2.3 Estimation method .. 3 2.4 Estimation of VaR .. 3 3. Empirical results .. 3 3.1 The data and the marginal distribution .. 3 3.2 Copula modeling .. 5 3.3 Estimation of VaR .. 5 4. Conclusion .. 7 References .. 8 1. Introduction Value at Risk (VaR) has become the standard measure used by financial institutions to quantify the market risk of an asset or a portfolio. Estimating VaR with one asset is not difficult, but it becomes complex when the portfolio contains ...