Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review

被引：10

作者：

Bee, Marco ^{[1
]}

Trapin, Luca ^{[2
]}

机构：

[1] Univ Trento, Dept Econ & Management, Via Inama 5, I-38122 Trento, Italy

[2] Univ Cattolica Sacro Cuore, Dept Math Sci Math Finance & Econometr, Largo Gemelli 1, I-20123 Milan, Italy

来源：

RISKS | 2018年 / 6卷 / 02期

关键词：

Extreme Value Theory; volatility; risk; quantile;

D O I：

10.3390/risks6020045

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns' conditional distribution. Recent advances in the financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks. The purpose of this paper is to review these methods.

引用

页数：16

共 50 条

[21] Forecasting the value-at-risk of Chinese stock market using the HARQ model and extreme value theory
Liu, Guangqiang
Wei, Yu
Chen, Yongfei
Yu, Jiang
Hu, Yang
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 499 : 288 - 297
[22] Comparison Value at Risk with Extreme Value Theory
Zelinkova, Katerina
FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 9TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PTS I-III, 2013, : 1090 - 1097
[23] Extreme value estimation of the conditional risk premium in reinsurance
Goegebeur, Yuri
Guillou, Armelle
Qin, Jing
INSURANCE MATHEMATICS & ECONOMICS, 2021, 96 : 68 - 80
[24] Estimating the Value-at-Risk (VaR) in stock investment of insurance companies: An application of the extreme value theory
Riaman
Octavian, Amarulla
Supian, Sudradjat
Saputra, Jumadil
DECISION SCIENCE LETTERS, 2023, 12 (04) : 749 - 758
[25] Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo
Schipp, Bernhard
JOURNAL OF EMPIRICAL FINANCE, 2013, 23 : 33 - 47
[26] Risk management with extreme value theory
Klüppelberg, C
EXTREME VALUES IN FINANCE, TELECOMMUNICATIONS, AND THE ENVIRONMENT, 2004, 99 : 101 - 168
[27] Estimating and forecasting portfolio's Value-at-Risk with wavelet-based extreme value theory: Evidence from crude oil prices and US exchange rates
Jammazi, Rania
Duc Khuong Nguyen
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2017, 68 (11) : 1352 - 1362
[28] Application of the Asymptotic Extreme Value Probability Theory to Forecasting the Risk of High Floods in the Lower Amur
Makhinov, A. N.
Kosygin, V. Yu.
Akhtyamov, M. Kh.
Katin, V. D.
WATER RESOURCES, 2020, 47 (03) : 359 - 365
[29] Investment risk forecasting model using extreme value theory approach combined with machine learning
Melina, Melina
Sukono
Napitupulu, Herlina
Mohamed, Norizan
AIMS MATHEMATICS, 2024, 9 (11): : 33314 - 33352
[30] Application of the Asymptotic Extreme Value Probability Theory to Forecasting the Risk of High Floods in the Lower Amur
A. N. Makhinov
V. Yu. Kosygin
M. Kh. Akhtyamov
V. D. Katin
Water Resources, 2020, 47 : 359 - 365

← 1 2 3 4 5 →