Mozumber, Sharif; Hassan, M. Kabir; Kabir, M. Humayun - In: Financial innovation : FIN 10 (2024), pp. 1-26
This study investigates the simplicity and adequacy of tail-based risk measures-valueat-risk (VaR) and expected … shortfall (ES)-when applied to tail targeting of the extreme value (EV) model. We implement Lévy-VaR and ES risk measures as … full density-based alternatives to the generalized Pareto VaR and the generalized Pareto ES of the tail-targeting EV model …