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

被引：0

作者：

Radivojevic, Nikola ^{[1
]}

Cvjetkovic, Milena ^{[2
]}

Stepanov, Saga ^{[3
]}

机构：

[1] Tech Coll Appl Studies, Kragujevac, Serbia

[2] Univ Novi Sad, Tech Fac, Zrenjanin, Serbia

[3] BAS, Belgrade, Serbia

来源：

ESTUDIOS DE ECONOMIA | 2016年 / 43卷 / 01期

关键词：

Value at Risk; Extreme Value Theory; Expected Shortfall; emerging markets; market risk; VALUE-AT-RISK; PERFORMANCE; MODELS;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：29 / 52

页数：24

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