Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures

2020 ◽  
Author(s):  
Enrique Molina‐Muñoz ◽  
Andrés Mora‐Valencia ◽  
Javier Perote
Keyword(s):  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value ◽  
Expected Shortfall ◽  
Stock Index ◽  
World Stock Index

A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL

2007 ◽  
Vol 10 (06) ◽  
pp. 1043-1075 ◽  
Author(s):  
CARLO MARINELLI ◽  
STEFANO D'ADDONA ◽  
SVETLOZAR T. RACHEV
Keyword(s):  
At Risk ◽  
Extreme Value Theory ◽  
Value At Risk ◽  
Value Theory ◽  
Extreme Value ◽  
Expected Shortfall ◽  
Stable Laws ◽  
Peaks Over Threshold ◽  
Threshold Method ◽  
Block Maxima

We compare in a backtesting study the performance of univariate models for Value-at-Risk (VaR) and expected shortfall based on stable laws and on extreme value theory (EVT). Analyzing these different approaches, we test whether the sum–stability assumption or the max–stability assumption, that respectively imply α–stable laws and Generalized Extreme Value (GEV) distributions, is more suitable for risk management based on VaR and expected shortfall. Our numerical results indicate that α–stable models tend to outperform pure EVT-based methods (especially those obtained by the so-called block maxima method) in the estimation of Value-at-Risk, while a peaks-over-threshold method turns out to be preferable for the estimation of expected shortfall. We also find empirical evidence that some simple semiparametric EVT-based methods perform well in the estimation of VaR.

Coherent Risk Measures

2014 ◽  
pp. 115-142
Keyword(s):  
At Risk ◽  
Extreme Value Theory ◽  
Risk Measures ◽  
Risk Measure ◽  
Value Theory ◽  
Extreme Value ◽  
Expected Shortfall ◽  
Coherent Risk Measures ◽  
Coherent Risk ◽  
Distortion Risk Measure

This chapter introduces some alternative risk measures to Vale-At-Risk (VaR) calculations: Extreme Value Theory (EVT), Expected Shortfall (ES) and distortion risk measure. It also discusses their more coherent characteristics useful for shoring up the weaknesses of VaR.

scholarly journals Extreme value theory in emerging markets

2010 ◽  
Vol 55 (185) ◽  
pp. 63-105 ◽  
Author(s):  
Goran Andjelic ◽  
Ivana Milosev ◽  
Vladimir Djakovic
Keyword(s):  
Emerging Markets ◽  
Extreme Value Theory ◽  
Performance Test ◽  
Value Theory ◽  
Extreme Value ◽  
Stock Index ◽  
Estimation Methods ◽  
Return Distribution ◽  
Mathematical Methods ◽  
Stock Indexes

This paper investigates the performance of extreme value theory (EVT) with the daily stock index returns of four different emerging markets. The research covers the sample representing the Serbian (BELEXline), Croatian (CROBEX), Slovenian (SBI20), and Hungarian (BUX) stock indexes using the data from January 2006 - September 2009. In the paper a performance test was carried out for the success of application of the extreme value theory in estimating and forecasting of the tails of daily return distribution of the analyzed stock indexes. Therefore the main goal is to determine whether EVT adequately estimates and forecasts the tails (2.5% and 5% at the tail) of daily stock index return distribution in the emerging markets of Serbia, Croatia, Slovenia, and Hungary. The applied methodology during the research includes analysis, synthesis and statistical/mathematical methods. Research results according to estimated Generalized Pareto Distribution (GPD) parameters indicate the necessity of applying market risk estimation methods, i.e. extreme value theory (EVT) in the framework of a broader analysis of investment processes in emerging markets.

scholarly journals Backtesting extreme value theory models of expected shortfall

2018 ◽  
Vol 19 (5) ◽  
pp. 799-825 ◽  
Author(s):  
Alfonso Novales ◽  
Laura Garcia-Jorcano
Keyword(s):  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value ◽  
Expected Shortfall
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