Bellini, Fabio; Figa-talamanca, Gianna - In: Quantitative Finance 7 (2007) 6, pp. 599-607
In this paper we study the tail behaviour of eight major market indexes stratifying data according to the violation of a high threshold on the previous day. The distributional differences found can be exploited to improve VaR calculations in several settings, giving rise to what we call 'MCVaR'....