Search Results - subject:"Extreme value theory"

Ranking of VaR and ES models : performance in developed and emerging markets

Žikovi´c, Saša; Filer, Randall Keith - In: Finance a úvěr 63 (2013) 4, pp. 327-359

Persistent link: https://www.econbiz.de/10010244885

The impact of global financial crisis on the dependence structure of equity markets and on risk management

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 5 (2013) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10009730450

Credit risk connectivity in the financial industry and stabilization effects of government bailouts

Bosma, Jakob; Koetter, Michael; Wedow, Michael - 2012

We identify the connections between financial institutions from different sectors of the financial industry based on joint extreme movements in credit default swap (CDS) spreads. First, we estimate pairwise co-crash probabilities (CCP) to identify significant connections among 193 international...

Persistent link: https://www.econbiz.de/10010309616

Ranking of VaR and ES Models: Performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall - 2012

An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that they measure only a single realization of the underlying data generation process. The question is whether there is any significant statistical difference in the performance of...

Persistent link: https://www.econbiz.de/10010289638

Modeling the impact of climate change in hydropower projects’ feasibility valuation

Suarez, Ronny - Volkswirtschaftliche Fakultät, … - 2012

simulations; therefore, applying mixing unconditional disturbance and extreme value theory, a new path that satisfies a return …

Persistent link: https://www.econbiz.de/10011259832

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 …

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

Credit risk connectivity in the financial industry and stabilization effects of government bailouts

Bosma, Jakob; Koetter, Michael; Wedow, Michael - Deutsche Bundesbank - 2012

Persistent link: https://www.econbiz.de/10010957152

Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory

Martins-Filho, Carlos; Yao, Feng; Torero, Maximo - Department of Economics, College of Business and Economics - 2012

We propose nonparametric estimators for conditional value-at-risk (VaR) and expected shortfall (ES) associated with conditional distributions of a series of returns on a financial asset. The return series and the conditioning covariates, which may include lagged returns and other exogenous...

Persistent link: https://www.econbiz.de/10010796087

Risk Management in the Financial Services Sector—Applicability and Performance of VaR Models in Pakistan

Mudakkar, Syeda Rabab; Uppal, Jamshed Y. - In: The Pakistan Development Review 51 (2012) 4, pp. 399-417

distributional assumptions. Our back-testing results show that the procedure based on the Extreme Value Theory (EVT) performs better …

Persistent link: https://www.econbiz.de/10011170232

Ranking of VaR and ES Models: Performance in Developed and Emerging Markets

Zikovic, Sasa; Filer, Randall - CESifo - 2012

Persistent link: https://www.econbiz.de/10010586077