Artikel
The new hybrid value at risk approach based on the extreme value theory
In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable for measuring market risk in the emerging markets. It is designed to capture the empirical features of returns with emerging markets, such as leptokurtosis, asymmetry, autocorrelation and heteroscedasticity.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Estudios de Economía ; ISSN: 0718-5286 ; Volume: 43 ; Year: 2016 ; Issue: 1 ; Pages: 29-52 ; Santiago de Chile: Universidad de Chile, Departamento de Economía
- Classification
-
Wirtschaft
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
- Subject
-
Value at Risk
Extreme Value Theory
Expected Shortfall
Emerging Markets
Market Risk
- Event
-
Geistige Schöpfung
- (who)
-
Radivojevic, Nicola
Cvjetkovic, Milena
Stepanov, Saša
- Event
-
Veröffentlichung
- (who)
-
Universidad de Chile, Departamento de Economía
- (where)
-
Santiago de Chile
- (when)
-
2016
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Radivojevic, Nicola
- Cvjetkovic, Milena
- Stepanov, Saša
- Universidad de Chile, Departamento de Economía
Time of origin
- 2016
Other Objects (12)
Extreme value theory im Risikomanagement
Extreme Value Theory of geophysical flows
Extreme value theory and the financial crisis of 2008
Independent test assessment using the extreme value distribution theory
Extreme value theory for anomaly detection – the GPD classifier
Order statistics, quantile processes and extreme value theory :
Contributions to extreme value theory in the space C(0,1)
Extreme value theory: An application to the Peruvian stock market returns
The extreme value theory as a tool to measure market risk
Contributions to Extreme Value Theory in the Space C[0,1]
How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?
Estimating conditional value at risk in the Tehran stock exchange based on the extreme value theory using GARCH models
Extreme value theory im Risikomanagement
Extreme Value Theory of geophysical flows
Extreme value theory and the financial crisis of 2008
Independent test assessment using the extreme value distribution theory
Extreme value theory for anomaly detection – the GPD classifier
Order statistics, quantile processes and extreme value theory :
Contributions to extreme value theory in the space C(0,1)
Extreme value theory: An application to the Peruvian stock market returns
The extreme value theory as a tool to measure market risk
Contributions to Extreme Value Theory in the Space C[0,1]
How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?
Estimating conditional value at risk in the Tehran stock exchange based on the extreme value theory using GARCH models
Extreme value theory im Risikomanagement
Extreme Value Theory of geophysical flows
Extreme value theory and the financial crisis of 2008
Independent test assessment using the extreme value distribution theory
Extreme value theory for anomaly detection – the GPD classifier
Order statistics, quantile processes and extreme value theory :
Contributions to extreme value theory in the space C(0,1)
Extreme value theory: An application to the Peruvian stock market returns
The extreme value theory as a tool to measure market risk
Contributions to Extreme Value Theory in the Space C[0,1]
How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?