The new hybrid value at risk approach based on the extreme value theory
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| Format: | Artículo científico |
| Language: | en |
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Universidad de Chile
2016
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| _version_ | 1876455538233966592 |
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| author | Nikola Radivojevi |
| author_facet | Nikola Radivojevi |
| contents | The new hybrid value at risk approach based on the extreme value theory Nikola Radivojevi Milena Cvjetkovic Saša Stepanovc Economía y Finanzas market risk Value at Risk emerging markets Expected Shortfall Extreme Value Theory 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. 2016 artículo científico 0304-2758 https://www.redalyc.org/articulo.oa?id=22146773002 en http://www.redalyc.org/revista.oa?id=221 Estudios de Economía application/pdf Universidad de Chile Estudios de Economía (Chile) Num.1 Vol.43 |
| format | Artículo científico |
| id | redalyc_22146773002 |
| institution | Redalyc |
| language | en |
| publishDate | 2016 |
| publisher | Universidad de Chile |
| spellingShingle | The new hybrid value at risk approach based on the extreme value theory Nikola Radivojevi Economía y Finanzas market risk Value at Risk emerging markets Expected Shortfall Extreme Value Theory The new hybrid value at risk approach based on the extreme value theory Nikola Radivojevi Milena Cvjetkovic Saša Stepanovc Economía y Finanzas market risk Value at Risk emerging markets Expected Shortfall Extreme Value Theory 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. 2016 artículo científico 0304-2758 https://www.redalyc.org/articulo.oa?id=22146773002 en http://www.redalyc.org/revista.oa?id=221 Estudios de Economía application/pdf Universidad de Chile Estudios de Economía (Chile) Num.1 Vol.43 |
| title | The new hybrid value at risk approach based on the extreme value theory |
| topic | Economía y Finanzas market risk Value at Risk emerging markets Expected Shortfall Extreme Value Theory |
| url | https://www.redalyc.org/articulo.oa?id=22146773002 |