Measuring market risk using extreme value theory

Measuring market risk using extreme value theory

In this paper, two VaR models are considered using the peaks-over-threshold (POT) approach of the extreme value theory (EVT): (1) static EVT model, which is the straightforward application of POT to the residuals of the fitted AR-GARCH model. The results are compared with traditional VaR methods suc...

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Bibliographic Details
Main Authors: Suiaso, Jose Oliver Q. (Author), Mapa, Dennis S. (Author)
Format: Analytics
Language:English
Published: [Quezon City] School of Economics, University of the Philippines 2009.
Subjects:
Econometrics.
Econometric models.
Online Access:https://forms.gle/KZjBv7aRtY6jiL5E9