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...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Radivojević,Nikola, Cvjetković,Milena, Stepanov,Saša
Lenguaje:	English
Publicado:	Universidad de Chile. Departamento de Economía 2016
Materias:	Value at Risk Extreme Value Theory Expected Shortfall emerging markets market risk
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862016000100002
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:scielo:S0718-52862016000100002
record_format	dspace
spelling	oai:scielo:S0718-528620160001000022016-07-22The new hybrid value at risk approach based on the extreme value theoryRadivojević,NikolaCvjetković,MilenaStepanov,Saša Value at Risk Extreme Value Theory Expected Shortfall emerging markets market risk 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.info:eu-repo/semantics/openAccessUniversidad de Chile. Departamento de EconomíaEstudios de economía v.43 n.1 20162016-06-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862016000100002en10.4067/S0718-52862016000100002
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Value at Risk Extreme Value Theory Expected Shortfall emerging markets market risk
spellingShingle	Value at Risk Extreme Value Theory Expected Shortfall emerging markets market risk Radivojević,Nikola Cvjetković,Milena Stepanov,Saša The new hybrid value at risk approach based on the extreme value theory
description	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.
author	Radivojević,Nikola Cvjetković,Milena Stepanov,Saša
author_facet	Radivojević,Nikola Cvjetković,Milena Stepanov,Saša
author_sort	Radivojević,Nikola
title	The new hybrid value at risk approach based on the extreme value theory
title_short	The new hybrid value at risk approach based on the extreme value theory
title_full	The new hybrid value at risk approach based on the extreme value theory
title_fullStr	The new hybrid value at risk approach based on the extreme value theory
title_full_unstemmed	The new hybrid value at risk approach based on the extreme value theory
title_sort	new hybrid value at risk approach based on the extreme value theory
publisher	Universidad de Chile. Departamento de Economía
publishDate	2016
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862016000100002
work_keys_str_mv	AT radivojevi263nikola thenewhybridvalueatriskapproachbasedontheextremevaluetheory AT cvjetkovi263milena thenewhybridvalueatriskapproachbasedontheextremevaluetheory AT stepanovsa353a thenewhybridvalueatriskapproachbasedontheextremevaluetheory AT radivojevi263nikola newhybridvalueatriskapproachbasedontheextremevaluetheory AT cvjetkovi263milena newhybridvalueatriskapproachbasedontheextremevaluetheory AT stepanovsa353a newhybridvalueatriskapproachbasedontheextremevaluetheory
_version_	1714205047726800896

The new hybrid value at risk approach based on the extreme value theory

Ejemplares similares