Search Results - subject:"Extreme value theory"

How fat are the tails of equity market indices?

Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200

Persistent link: https://www.econbiz.de/10011960289

The new hybrid value at risk approach based on the extreme value theory

Radivojevic, Nicola; Cvjetkovic, Milena; Stepanov, Saša - In: Estudios de Economía 43 (2016) 1, pp. 29-52

In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation …

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

How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?

Auer, Benjamin R.; Mögel, Benjamin - 2016

derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …

Persistent link: https://www.econbiz.de/10011615843

Applications of Extreme Value Theory for Market Risks Estimation : A Review

Nilaish, Nilaish - 2016

In this paper, we analytically review the applications of Extreme Value Theory for Market Risks Estimation. The …

Persistent link: https://www.econbiz.de/10012995894

Risk Assessment of Non-Performing Loans (NPL) Using Extreme Value Theory

Louangrath, Paul - 2016

under Extreme Value Theory (EVT) and relevant tests suggested by the Tail index. Conventional time series models, such as AR …

Persistent link: https://www.econbiz.de/10013002018

A Coupling of Extreme-Value Theory and Volatility Updating with Value-at-Risk Estimation in Emerging Markets : A South African Test

Seymour, Anthony - 2016

-at-risk calculation are tested on a representative portfolio of South African stocks. The first method incorporates extreme value theory …. The second model includes both extreme value theory and volatility updating (via GARCH-type modeling). The combined GARCH …-type time-series approach and extreme value theory model is found to provide significantly better results than both …

Persistent link: https://www.econbiz.de/10013004329

Estimation of VAR Using Copula and Extreme Value Theory

Hotta, Luiz Koodi - 2016

This paper proposes a method for estimating the VaR of a portfolio based on copula and extreme value theory. Each …

Persistent link: https://www.econbiz.de/10013004452

Asymmetry in Tail Dependence of Equity Portfolios

Jondeau, Eric - 2016

The asymmetry in the tail dependence between U.S. equity portfolios and the aggregate U.S. market is a well-established property. Given the limited number of observations in the tails of a joint distribution, standard non-parametric measures of tail dependence have poor finite-sample properties...

Persistent link: https://www.econbiz.de/10013006268

Do Rare Events Explain Cdx Tranche Spreads?

Seo, Sang Byung - 2016

We investigate whether a model with a time-varying probability of economic disaster can explain the pricing of collateralized debt obligations, both prior to and during the 2008-2009 financial crisis. Namely, we examine the pricing of tranches on the CDX, an index of credit default swaps on...

Persistent link: https://www.econbiz.de/10012981618

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

Radivojevic, Nikola - 2016

In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation …

Persistent link: https://www.econbiz.de/10012988150