Estimation of value at risk by extreme value methods
The article is devoted to the estimation (prediction) of quantiles of financial assets returns distributions. Such quantiles are called Values at Risk (VaR). The author describes methods based on the Gaussian model, empirical quantiles, estimation of parameters of generalized extreme value and generalized Pareto distributions (GPD). To include in the model possible dependence and heteroscedasticity of the returns the author propose to use a GARCH model with heavy-tailed disturbances. The parameters of the GARCH model are estimated using a Gaussian-model likelihood and then the distribution of the residuals is fitted by GPD. The quantile of the fitted distribution is taken as the VaR. These methods are applied by the author to a portfolio consisting of the bank-stocks ``Den Danske Bank and ``Jydske Bank by the data from 1985 to 1998. The author conclusion is that the GARCH+GPD technology is the one that describes the tail features of financial time series the best.
- High volatility, thick tails and extreme value theory in value-at-risk estimation.
- Quantile estimation for the generalized Pareto distribution with application to finance
- Practical problems of risk estimation in the analysis of daily time series
- Estimation of value at risk: extreme value and robust approaches
- Extreme value theory and VaR computation
- Measuring value at risk with an extremal process
- Estimating financial risk under time-varying extremal return behavior
- High volatility, thick tails and extreme value theory in value-at-risk estimation.
- Fitting a Pareto-Normal-Pareto distribution to the residuals of financial data
- Extreme value analysis of actuarial risks: estimation and model validation
- Extremal forex returns in extremely large data sets
- Sparse moving maxima models for tail dependence in multivariate financial time series
- Avoiding zero probability events when computing value at risk contributions
- Forecasting value-at-risk with a duration-based POT method
- A comparison of several time-series models for assessing the value at risk of shares
- Arithmetic stability analysis of extreme risk evaluation based on the Monte Carlo simulation method
- Multivariate heavy-tailed models for value-at-risk estimation
- scientific article; zbMATH DE number 5898106 (Why is no real title available?)
- Cash flow at risk based on bootstrap simulation and generalized Pareto distribution
- Application of extreme value theory in predicting funds based on the POT method
- Practical problems of risk estimation in the analysis of daily time series
- Variance Reduction Techniques for Estimating Value-at-Risk
- Comparison of techniques for extreme values using financial data
- Extreme Value Modeling and Risk Analysis
- Extreme value theory and VaR computation
- A study of two estimation methods for EVT
- Generalized extreme value distribution and extreme economic value at risk (EE-VaR)
- Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
- Tail-risk protection trading strategies
- Estimating oil price value at risk using belief functions
- DPOT methodology: an application to value-at-risk
- Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model
- Estimation of value at risk: extreme value and robust approaches
- GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series
- Optimal choice of sample fraction in univariate financial tail index estimation
- Quantifying Extreme Risks
- Quantile estimation for the generalized Pareto distribution with application to finance
- Return distribution and value at risk estimation for BELEX15
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
- TWO-COMPONENT EXTREME VALUE DISTRIBUTION FOR ASIA-PACIFIC STOCK INDEX RETURNS
- An Extensive Comparison of Some Well‐Established Value at Risk Methods
- Modelling the financial risk associated with U.S. Movie box office earnings
This page was built for publication: Estimation of value at risk by extreme value methods
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5942928)
