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.
- Sprache
-
Englisch
- Erschienen in
-
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
- Klassifikation
-
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
- Thema
-
Value at Risk
Extreme Value Theory
Expected Shortfall
Emerging Markets
Market Risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Radivojevic, Nicola
Cvjetkovic, Milena
Stepanov, Saša
- Ereignis
-
Veröffentlichung
- (wer)
-
Universidad de Chile, Departamento de Economía
- (wo)
-
Santiago de Chile
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Radivojevic, Nicola
- Cvjetkovic, Milena
- Stepanov, Saša
- Universidad de Chile, Departamento de Economía
Entstanden
- 2016
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