ESTIMATING EXTREME DOWNSIDE RISK PREMIUM USING EXTREME VALUE THEORY APPROACH

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DAVALLOU MARYAM; DASHTI MAHDIYEH

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Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2018 | Volume:8 | Issue:33 Page(s): 137-152

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Title

ESTIMATING EXTREME DOWNSIDE RISK PREMIUM USING EXTREME VALUE THEORY APPROACH

Author(s)

DAVALLOU MARYAM | DASHTI MAHDIYEH | Issue Writer Certificate

Keywords

EXTREME DOWNSIDE RISKQ1

EXTREME VALUE THEORYQ1

GENERALIZED EXTREME VALUE DISTRIBUTIONQ1

Abstract

Recent year’s financial crisis gives rise to pay attention to extreme losses. Investors suffer from extreme losses and since unusaull outcomes probability is not far, investors concern about extreme tail of return distribution. This paper is aimed to examin EXTREME DOWNSIDE RISK (EDR) that is calculated by EXTREME VALUE THEORY (EVT) which is designed to explain uncommon events. For this purpose, a sample composed of 243 listed firms in Tehran Stock Exchange is examined for 1384 to 1394. Portfolio study approach and Fama-McBeth (1973) regression are used to EDR pricing test. The results confirm EDR pricing and statistical significancy of EXTREME DOWNSIDE RISK in TSE. This research shows that potential loss from extreme downside returns, EDR, is captured by asset pricing as a risk factor. Also, the effects of other risk measures including volatility, valu at risk and right tail mesure are stronger than EDR and if their effectes is controlled, EDR risk premium is no longer statistically significant.

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APA: Copy

DAVALLOU, MARYAM, & DASHTI, MAHDIYEH. (2018). ESTIMATING EXTREME DOWNSIDE RISK PREMIUM USING EXTREME VALUE THEORY APPROACH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 8(33 ), 137-152. SID. https://sid.ir/paper/197794/en

Vancouver: Copy

DAVALLOU MARYAM, DASHTI MAHDIYEH. ESTIMATING EXTREME DOWNSIDE RISK PREMIUM USING EXTREME VALUE THEORY APPROACH. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;8(33 ):137-152. Available from: https://sid.ir/paper/197794/en

IEEE: Copy

MARYAM DAVALLOU, and MAHDIYEH DASHTI, “ESTIMATING EXTREME DOWNSIDE RISK PREMIUM USING EXTREME VALUE THEORY APPROACH,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 8, no. 33 , pp. 137–152, 2018, [Online]. Available: https://sid.ir/paper/197794/en

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