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Extreme Value Theory and Value at Risk : Application to Oil Market

Marimoutou, Vêlayoudom; Raggad, Bechir; Trabelsi, … - HAL - 2006

risk has become a necessity. Value at Risk (VaR) measures risk exposure at a given probability level and is very important …

Persistent link: https://www.econbiz.de/10008794366

Extreme Value at Risk and Expected Shortfall during Financial Crisis

Kourouma, L.; Dupre, D.; Sanfilippo, G.; Taramasco, O. - HAL - 2011

the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared … with the conditional models. This underestimation is stronger using the historical VaR approach than when using the extreme … values theory VaR model. Even in 2008 financial crisis, the conditional EVT model is more accurate and reliable for …

Persistent link: https://www.econbiz.de/10009399186

Disentangling crashes from tail events

Aboura, Sofiane - HAL - 2010

The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, what differentiates a crash from a tail event? This article answers this question by taking a risk management perspective that is based on an...

Persistent link: https://www.econbiz.de/10010899911

The extreme downside risk of the S&P 500 stock index

Aboura, Sofiane - HAL - 2009

Extreme value theory has been widely applied in insurance and finance to model rare events. Plenty of such events have occurred in financial markets during the last two decades, including stock market crashes, currency crises, or large bankruptcies. This article applies extreme value theory...

Persistent link: https://www.econbiz.de/10010709582

Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy

Caillault, Cyril; Guegan, Dominique - HAL - 2009

Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk and the Expected Shortfall: the RiskMetrics...

Persistent link: https://www.econbiz.de/10010738564

Extreme Financial Cycles

Candelon, Bertrand; Gaulier, Guillaume; Hurlin, Christophe - HAL - 2012

This paper proposes a new approach to date extreme financial cycles. Elaborating on recent methods in extreme value theory, it elaborates an extension of the famous calculus rule to detect extreme peaks and troughs. Applied on United-States stock market since 1871, it leads to a dating of these...

Persistent link: https://www.econbiz.de/10010899424

The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios

Hassani, Bertrand; Renaudin, Alexis - HAL - 2013

According to the last proposals of the Basel Committee on Banking Supervision, banks under the Advanced Measurement Approach (AMA) must use four different sources of information to assess their Operational Risk capital requirement. The fourth including "business environment and internal control...

Persistent link: https://www.econbiz.de/10010635130

Extreme values of particular nonlinear processes

Guegan, Dominique; Ladoucette, Sophie A. - HAL - 2002

We investigate the asymptotic behavior of the maxima of a general class of deterministic chaotic processes –including the Tent map and the Logistic map -, of noisy chaotic processes, and of the Gaussian long memory k-factor Genebauer processes.

Persistent link: https://www.econbiz.de/10008791281

Asymptotic Behavior for the Extreme Values of a Linear Regression Model

Diop, Aliou; Guegan, Dominique - HAL - 2004

We consider a class of linear regression model with extreme distribution noise. We show by a mean of point process technique that the asymptotic distribution of the maximum is the same as the one of the max of the noise process, under specific conditions.

Persistent link: https://www.econbiz.de/10008792210

Extreme Distribution of a Generalized Stochastic Volatility Model,

Diop, Aliou; Guegan, Dominique - HAL - 2003

We study the asymptotic behaviour of the extreme values of a stochastic volatility model when the noise follows a generalized error distribution extreme. We provide a Monte Carlo experiment to illustrate th choice of the assumptions. We deal also with the finite sample behaviour of the...

Persistent link: https://www.econbiz.de/10008792442

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