Conditional tail behaviour and Value at Risk

DOI10.1080/14697680601155516MaRDI QIDQ5440099zbMATH OpenOpenAlexFDO

Authors Fabio Bellini, Gianna Figà-Talamanca

Publication date 31 January 2008

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680601155516

zbMATH Keywords

GARCHValue at Riskruns testback testingParetian tails

Mathematics Subject Classification ID

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Cites work

• A simple general approach to inference about the tail of a distribution
• Coherent measures of risk
• Convex measures of risk and trading constraints
• DETECTING AND MODELING TAIL DEPENDENCE
• Estimating tails of probability distributions

Cited in

(8)

• On elicitable risk measures
• Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
• Evaluating CVaR conditioned on VPIN based on the threshold quantile regression model
• Comparison of value-at-risk models using the MCS approach
• Index-exciting CAViaR: a new empirical time-varying risk model
• On the non-existence of conditional value-at-risk under heavy tails and short sales
• Conditional VaR based on two-dimensional normal distribution
• Using CAViaR models with implied volatility for value-at-risk estimation

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