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A Comparison of EVT and Standard VaR Estimations

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  • Jaroslav Baran

    ()

  • Jiří Witzany

    ()

Abstract

� In this paper, Extreme value theory (EVT) is applied in estimating low quantiles of P/L distribution and the results are compared to common VaR methodologies. The fundamental theory behind EVT is built, and peaks-over-threshold method is used for modeling the tail of the distribution of losses with Generalized Pareto Distribution (GPD). Practical issues such as time varying volatility of returns, and multivariate time series (portfolio of financial instruments) are covered.

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File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/185
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Bibliographic Info

Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

Volume (Year): 19 (2012)
Issue (Month): 29 ()
Pages:

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Handle: RePEc:czx:journl:v:19:y:2012:i:29:id:185

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Web page: http://ces.utia.cas.cz
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Related research

Keywords: Risk measures; Value-at-Risk; Extreme Value Theory; GARCH estimations;

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Cited by:
  1. Kittiya Chaithep & Songsak Sriboonchitta & Chukiat Chaiboonsri & Pathairat Pastpipatkul, 2012. "Value at Risk Analysis of Gold Price Returns Using Extreme Value Theory," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 1(4), pages 151-168, December.

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