ESTIMATION OF VALUE AT RISK BY USING EXTREME VALUE THEORY

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SAJJAD RASOUL; HEDAYATI SHOHREH; HEDAYATI SHARAREH

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Journal: INVESTMENT KNOWLEDGE Year:2014 | Volume:3 | Issue:9 Page(s): 133-155

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Information Journal Paper

Title

ESTIMATION OF VALUE AT RISK BY USING EXTREME VALUE THEORY

Author(s)

SAJJAD RASOUL | HEDAYATI SHOHREH | HEDAYATI SHARAREH | Issue Writer Certificate

Keywords

VALUE AT RISK (VAR)- EXTREME VALUE THEOREMS (EVT)- HISTORICAL SIMULATION (HS)- FILTERED HISTORICAL SIMULATION (FHS)- GENERALIZED PARETO DISTRIBUTION (GPD)- BACK TESTINGQ1

Abstract

Value at Risk (VaR) measures risk exposure at a given probability level and is very important for risk management. In this paper, mainly EVT models are compared to other well-known models such as GARCH, Historical Simulation and Filtered Historical Simulation. Then evaluation their models with different back testing such as Kupiec test, Christoffersen test and Lopez Loss function.Our results indicate that using conditional methods and Extreme Value Theory to forecast Value at Risk, is better than other models. And we should examine different methods for forecast Value at Risk, then select the best method for any tails of distributions.

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APA: Copy

SAJJAD, RASOUL, HEDAYATI, SHOHREH, & HEDAYATI, SHARAREH. (2014). ESTIMATION OF VALUE AT RISK BY USING EXTREME VALUE THEORY. INVESTMENT KNOWLEDGE, 3(9), 133-155. SID. https://sid.ir/paper/187990/en

Vancouver: Copy

SAJJAD RASOUL, HEDAYATI SHOHREH, HEDAYATI SHARAREH. ESTIMATION OF VALUE AT RISK BY USING EXTREME VALUE THEORY. INVESTMENT KNOWLEDGE[Internet]. 2014;3(9):133-155. Available from: https://sid.ir/paper/187990/en

IEEE: Copy

RASOUL SAJJAD, SHOHREH HEDAYATI, and SHARAREH HEDAYATI, “ESTIMATION OF VALUE AT RISK BY USING EXTREME VALUE THEORY,” INVESTMENT KNOWLEDGE, vol. 3, no. 9, pp. 133–155, 2014, [Online]. Available: https://sid.ir/paper/187990/en

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