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 desig...

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Autores principales: Radivojević,Nikola, Cvjetković,Milena, Stepanov,Saša
Lenguaje:English
Publicado: Universidad de Chile. Departamento de Economía 2016
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Acceso en línea:http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862016000100002
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