Estimation of tail-related risk measures in the Indian stock market: An extreme value approach

Madhusudan Karmakar

Review of Financial Economics, 2013, vol. 22, issue 3, 79-85

Abstract: The purpose of the study is to estimate tail-related risk measures using extreme value theory (EVT) in the Indian stock market. The study employs a two stage approach of conditional EVT originally proposed by McNeil and Frey (2000) to estimate dynamic Value at Risk (VaR) and expected shortfall (ES). The dynamic risk measures have been estimated for different percentiles for negative and positive returns. The estimates of risk measures computed under different quantile levels exhibit strong stability across a range of the selected thresholds, implying the accuracy and reliability of the estimated quantile based risk measures.

Keywords: Extreme value theory; Peak over threshold method; GARCH; Value at Risk; Expected shortfall (search for similar items in EconPapers)
JEL-codes: C15 G1 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:revfin:v:22:y:2013:i:3:p:79-85

DOI: 10.1016/j.rfe.2013.05.001

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