Two-step methods in VaR prediction and the importance of fat tails

DOI10.1080/14697688.2014.942230zbMath1398.91683OpenAlexW2095464682MaRDI QIDQ4683039

Ibrahim Ergen

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.942230

zbMATH Keywords

extreme value theoryvalue-at-riskVaREVT

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70)

Related Items (3)

GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series ⋮ How does the choice of Value-at-Risk estimator influence asset allocation decisions? ⋮ Backtesting extreme value theory models of expected shortfall

Uses Software

• ismev
• QRM

Cites Work

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• Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
• Threshold heteroskedastic models
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