Estimating value-at-risk: a point process approach

V. Chavez-Demoulin, A. C. Davison and A. J. McNeil

Quantitative Finance, 2005, vol. 5, issue 2, 227-234

Abstract: We consider the modelling of extreme returns in financial time series, and introduce a marked point process model for the exceedances of a high threshold. This model has a self-exciting, Hawkes-process structure in which recent events affect the current intensity of threshold exceedances more than distant ones. Estimates of value-at-risk are derived for real datasets and the success of the estimation method is evaluated in backtests.

Date: 2005
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Citations: View citations in EconPapers (45)

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DOI: 10.1080/14697680500039613

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