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

Nicola Radivojevic ; Milena Cvjetkovic ; Saša Stepanov

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.

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Year of publication:	Junio 2016
Authors:	Radivojevic, Nicola ; Cvjetkovic, Milena ; Stepanov, Saša
Published in:	Estudios de economía. - Santiago : [Verlag nicht ermittelbar], ISSN 0718-5286, ZDB-ID 2162059-3. - Vol. 43.2016, 1, p. 29-52
Subject:	Value at Risk \| Extreme Value Theory \| Expected Shortfall \| emerging markets \| market risk \| Theorie \| Theory \| Risikomaß \| Risk measure \| Risikomanagement \| Risk management \| Ausreißer \| Outliers \| Portfolio-Management \| Portfolio selection \| Schwellenländer \| Emerging economies

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Notes:	Zusammenfassung in spanischer Sprache Paralleltitel: El nuevo enfoque híbrido de value at risk basado en la teoría de valores extremos
Other identifiers:	hdl:10419/146740 [Handle]
Classification:	G24 - Investment Banking; Venture Capital; Brokerage ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011503775