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

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