Comparison Value at Risk with Extreme Value Theory

被引：0
|
作者：
Zelinkova, Katerina [1 ]
机构：
[1] VSB TU Ostrava, Fac Econ, Dept Management, Ostrava 70121, Czech Republic
来源：
FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 9TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PTS I-III | 2013年
关键词：
Normal distribution; Student distribution; Value at Risk; Extreme Value Theory;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The paper is focus on comparison of aproach Value at Risk and Conditional Value at Risk method by assuming normal distribution and Student distribution and Extreme Value Theory by assuming Pareto distribution. The structure of this paper is following. Firstly, the method Value at Risk and Conditional Value at risk for normal and Student distribution is explained and subsequently Extreme Value Theory. There are estimated value of given probability distribution and Extreme Value Theory. The data for determination of risk are four stock market indices (CAC 40, ATX, AEX a DAX).
引用
收藏
页码：1090 / 1097
页数：8
相关论文
共 50 条
  • [1] Value at Risk Estimation Using Extreme Value Theory
    Singh, Abhay K.
    Allen, David E.
    Powell, Robert J.
    [J]. 19TH INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION (MODSIM2011), 2011, : 1478 - 1484
  • [2] Determination of Value at Risk via Extreme Value Theory
    Zelinkova, Katerina
    [J]. FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS, 2011, : 583 - 588
  • [3] Extreme market risk and extreme value theory
    Singh, Abhay K.
    Allen, David E.
    Robert, Powell J.
    [J]. MATHEMATICS AND COMPUTERS IN SIMULATION, 2013, 94 : 310 - 328
  • [4] Risk management with extreme value theory
    Klüppelberg, C
    [J]. EXTREME VALUES IN FINANCE, TELECOMMUNICATIONS, AND THE ENVIRONMENT, 2004, 99 : 101 - 168
  • [5] Empirical comparison of conventional methods and extreme value theory approach in value-at-risk assessment
    Totic, Selena
    Bulajic, Milica
    Vlastelica, Tamara
    [J]. AFRICAN JOURNAL OF BUSINESS MANAGEMENT, 2011, 5 (33): : 12810 - 12818
  • [6] Extreme Value Theory and Value at Risk: Application to oil market
    Marimoutou, Velayoudoum
    Raggad, Bechir
    Trabelsi, Abdelwahed
    [J]. ENERGY ECONOMICS, 2009, 31 (04) : 519 - 530
  • [7] A COMPARISON OF THE EXTREME VALUE THEORY AND GARCH MODELS IN TERMS OF RISK MEASURES
    Nevruz, Ezgi
    Sahin, Sule
    [J]. ANALES DEL INSTITUTO DE ACTUARIOS ESPANOLES, 2018, (24): : 149 - 170
  • [8] Comparison of estimation methods in extreme value theory
    Rosen, O
    Weissman, I
    [J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1996, 25 (04) : 759 - 773
  • [9] Modeling Value at Risk of Agricultural Crops Using Extreme Value Theory
    Gong, Xue
    Sriboonchitta, Songsak
    Rahman, Sanzidur
    Kuson, Siwarat
    [J]. ADVANCED SCIENCE LETTERS, 2015, 21 (05) : 1339 - 1343
  • [10] The new hybrid value at risk approach based on the extreme value theory
    Radivojevic, Nikola
    Cvjetkovic, Milena
    Stepanov, Saga
    [J]. ESTUDIOS DE ECONOMIA, 2016, 43 (01): : 29 - 52
12345