Mohamed El Ghourabi

University of Tunis

Mohamed El Ghourabi obtained his Ph.D. degree in Management Science from the University of Tunis. He is an Associate professor of Quantitative Methods and the Director of the Economics, Quantitative Methods and Computer Sciences Department of the Higher School of Economics and Commercial Sciences of Tunis. He is a Head of many scientific research projects. He participated in several international conferences with papers in the field of risk management, quantitative finance and econometrics. He is also author of several scientific publications in indexed international reviews.

Articles by Mohamed El Ghourabi

Original research

Value-at-risk bounds for multivariate heavy tailed distribution: an application to the Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity model

This paper aims to derive VaR bounds for the portfolios of possibly dependent financial assets for heavy tailed Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity processes using extreme value theory copulas.

16 Aug 2016