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, Nicola ; Cvjetkovic, Milena ; Stepanov, Saša
Published in:	Estudios de Economía. - Santiago de Chile : Universidad de Chile, Departamento de Economía, ISSN 0718-5286. - Vol. 43.2016, 1, p. 29-52
Publisher:	Santiago de Chile : Universidad de Chile, Departamento de Economía
Subject:	Value at Risk \| Extreme Value Theory \| Expected Shortfall \| Emerging Markets \| Market Risk

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	863222307 [GVK] hdl:10419/146740 [Handle]
Classification:	G24 - Investment Banking; Venture Capital; Brokerage ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	EconStor

Persistent link: https://www.econbiz.de/10011538775