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Application of Modified POT Method with Volatility Model for Estimation of Risk Measures

Marcin Faldzinski ()

Dynamic Econometric Models, 2009, vol. 9, 119-128

Abstract: The main aim of this paper is the presentation and empirical analysis of the new approach which combines volatility models with Peaks over Threshold method that comes from extreme value theory. The new approach is applied for estimation of risk measures (VaR and ES) in financial time series. For the empirical analysis the financial risk model evaluation was conducted. In this paper the POT method was compared with standard volatility models (GARCH and SV) in case of the conditional modeling.

Keywords: Extreme Value Theory; Peaks over Threshold; Value-at-Risk; Expected Shortfall. (search for similar items in EconPapers)
Date: 2009
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Handle: RePEc:cpn:umkdem:v:9:y:2009:p:119-128