Looking at Extremes without Going to Extremes: A New Self-Exciting Probability Model for Extreme Losses in Financial Markets
Forecasting market risk lies at the core of modern empirical finance. We propose a new self-exciting probability peaks-over-threshold (SEP-POT) model for forecasting the extreme loss probability and the value at risk. The model draws from the point-process approach to the POT methodology but is buil...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-07-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/22/7/789 |