On The Empirical Importance of the Spectral Risk Measure with Extreme Value Theory Approach

Marcin Fałdziński ()
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Marcin Fałdziński: Nicolaus Copernicus University in Toruń, Poland

Chapter 4 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2011, vol. 9, pp 73-86 from University of Lodz

Abstract: In Chapter 4 Marcin Fałdziński compares new coherent risk measure (i.e. the spectral risk measure estimated with tools of extreme value theory) to more traditional metrics (Value at Risk and Expected Shortfall). He analyzes this risk measures with a new backtesting function robust to overestimation problem.

Keywords: Spectral risk measure; Extreme value theory; Backtesting function (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2011:n:09:ch:04:mon

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