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Application of Modified POT Method with Volatility Model for Estimation of Risk Measures

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  • Marcin Faldzinski

    (Nicolaus Copernicus University in Torun)

Abstract

The main aim of this paper is the presentation and empirical analysis of the new approach which combines volatility models with Peaks over Threshold method that comes from extreme value theory. The new approach is applied for estimation of risk measures (VaR and ES) in financial time series. For the empirical analysis the financial risk model evaluation was conducted. In this paper the POT method was compared with standard volatility models (GARCH and SV) in case of the conditional modeling.

Suggested Citation

  • Marcin Faldzinski, 2009. "Application of Modified POT Method with Volatility Model for Estimation of Risk Measures," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 9, pages 119-128.
    • Handle: RePEc:cpn:umkdem:v:9:y:2009:p:119-128
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    References listed on IDEAS

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