Assessing the Efficiency of the Value-at-Risk Index (VAR) using Extreme Value Theory in comparison with traditional risk assessment methods

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Mozaffari Mehrdokht; NIKOOMARAM HASHEM

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Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2020 | Volume:13 | Issue:46 Page(s): 179-191

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Title

Assessing the Efficiency of the Value-at-Risk Index (VAR) using Extreme Value Theory in comparison with traditional risk assessment methods

Author(s)

Mozaffari Mehrdokht | NIKOOMARAM HASHEM | Issue Writer Certificate

Keywords

risk management

Value at risk

Extreme Value Theory

Historical Simulation Method

Covariance Variance

Maximum Block Method

Abstract

Generally, the greatest risk in the capital market or in the portfolio of investors occurs when large sudden changes occur in the unfavorable portfolio. These losses are in the distribution sequence, and for this purpose they are called "limitative values". In this research, the logarithmic efficiency of the Tehran Stock Exchange Index based on the information received during the time interval between the day (due to the use of high frequency data) during the years 1392 to 1395, and the use of the maximum block approach in measuring the VaR value index is used. It turned out VaR index was calculated using Historical Simulation Methods and variance-covariance method as the traditional risk assessment criteria and the results were compared. The results of data analysis in R software showed that the use of monthly information in calculating the risk-weighted value index has a higher predictive accuracy and the error rate (test error) in this case is lower than traditional risk assessment methods.

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APA: Copy

Mozaffari, Mehrdokht, & NIKOOMARAM, HASHEM. (2020). Assessing the Efficiency of the Value-at-Risk Index (VAR) using Extreme Value Theory in comparison with traditional risk assessment methods. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 13(46 ), 179-191. SID. https://sid.ir/paper/970050/en

Vancouver: Copy

Mozaffari Mehrdokht, NIKOOMARAM HASHEM. Assessing the Efficiency of the Value-at-Risk Index (VAR) using Extreme Value Theory in comparison with traditional risk assessment methods. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2020;13(46 ):179-191. Available from: https://sid.ir/paper/970050/en

IEEE: Copy

Mehrdokht Mozaffari, and HASHEM NIKOOMARAM, “Assessing the Efficiency of the Value-at-Risk Index (VAR) using Extreme Value Theory in comparison with traditional risk assessment methods,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 13, no. 46 , pp. 179–191, 2020, [Online]. Available: https://sid.ir/paper/970050/en

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