The New Hybrid Value at Risk Approach Based on the Extreme Value Theory

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:	2016
Authors:	Radivojevic, Nikola
Other Persons:	Cvjetkovic, Milena (contributor) ; Stepanov, Saša (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Risikomaß \| Risk measure \| Ausreißer \| Outliers

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Extent:	1 Online-Ressource (24 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Estudios de Economia., Vol. 43, No. 1, 2016 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 24, 2016 erstellt
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

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