The new hybrid value at risk approach based on the extreme value theory

Nikola Radivojevic, Milena Cvjetkovic and Saša Stepanov ()

Estudios de Economia, 2016, vol. 43, issue 1 Year 2016, 29-52

Abstract: 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 designed to capture the empirical features of returns with emerging markets, such as leptokurtosis, asymmetry, autocorrelation and heteroscedasticity.

Keywords: Value at Risk; Extreme Value Theory; Expected Shortfall; emerging markets; market risk. (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 G24 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:udc:esteco:v:43:y:2016:i:1:p:17-43

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