Conditional EVT model performs in modeling tails of distributions and in estimating and forecasting VaR measures. We have followed … McNeil and Frey's (2000) two stage approach called Conditional EVT to estimate dynamic VaR. In stage 1, we model the … tails of the asymmetric GARCH residuals. We have compared the accuracy of Conditional EVT approach to VaR estimation with …

Simulation, EVT and conditional EVT methods. Special emphasis is paid on two methodologies related to the Extreme Value Theory … the excess distribution over high thresholds and block maxima, respectively. We apply both unconditional and conditional … EVT models to management of extreme market risks in stock markets. They are applied on daily returns of the Tunisian stock …

the Block Maxima (BM). We apply both unconditional and conditional EVT models to management of extreme market risks in …

the Block Maxima (BM). We apply both unconditional and conditional EVT models to management of extreme market risks in …