The new hybrid value at risk approach based on the extreme value theory
In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable for measuring market risk in the emerging markets. It is desig...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad de Chile
2016-06-01
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| Series: | Estudios de Economía |
| Online Access: | https://estudiosdeeconomia.uchile.cl/index.php/EDE/article/view/41863 |