A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL

DOI10.1142/S0219024907004548zbMath1141.91535MaRDI QIDQ3503127

Stefano d'Addona, Carlo Marinelli, Svetlozar T. Rachev

Publication date: 20 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

extreme value theoryvalue-at-riskexpected shortfallParetian stable laws

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

Unnamed Item ⋮ Backtesting extreme value theory models of expected shortfall

Uses Software

• STABLE

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the estimation of the extreme-value index and large quantile estimation
• Estimating tails of probability distributions
• Residual life time at great age
• Maximum likelihood estimation of stable Paretian models.
• Stable modeling of value at risk
• On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
• Asymptotic normality of the extreme quantile estimator based on the POT method
• Strategic long-term financial risks: single risk factors
• Sur la distribution limite du terme maximum d'une série aléatoire
• Maximum likelihood estimation in a class of nonregular cases
• Simple consistent estimators of stable distribution parameters
• Numerical calculation of stable densities and distribution functions
• Using a bootstrap method to choose the sample fraction in tail index estimation