Value at Risk Estimation using Extreme Value Theory

Chan, F., Marinova, D. and Anderssen, R.S. (eds) MODSIM2011, 19th International Congress on Modelling and Simulation. ◽

10.36334/modsim.2011.d6.singh ◽

2011 ◽

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Risk Estimation ◽

Value Theory ◽

Extreme Value

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Filtered extreme‐value theory for value‐at‐risk estimation: evidence from Turkey

The Journal of Risk Finance ◽

10.1108/15265941011025189 ◽

2010 ◽

Vol 11 (2) ◽

pp. 164-179 ◽

Cited By ~ 12

Author(s):

Alper Ozun ◽

Atilla Cifter ◽

Sait Yılmazer

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Risk Estimation ◽

Value Theory ◽

Extreme Value

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Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2011.02.033 ◽

2011 ◽

Vol 390 (12) ◽

pp. 2356-2367 ◽

Cited By ~ 19

Author(s):

Atilla Cifter

Keyword(s):

At Risk ◽

Emerging Markets ◽

Extreme Value Theory ◽

Value At Risk ◽

Risk Estimation ◽

Value Theory ◽

Extreme Value

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High volatility, thick tails and extreme value theory in value-at-risk estimation

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2003.07.004 ◽

2003 ◽

Vol 33 (2) ◽

pp. 337-356 ◽

Cited By ~ 82

Author(s):

Ramazan Gençay ◽

Faruk Selçuk ◽

Abdurrahman Ulugülyaǧci

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Risk Estimation ◽

Value Theory ◽

Extreme Value ◽

High Volatility ◽

Thick Tails

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Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation

International Journal of Monetary Economics and Finance ◽

10.1504/ijmef.2008.019218 ◽

2008 ◽

Vol 1 (2) ◽

pp. 121 ◽

Cited By ~ 17

Author(s):

Ahmed Ghorbel ◽

Abdelwahed Trabelsi

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Risk Estimation ◽

Predictive Performance ◽

Value Theory ◽

Extreme Value

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A Coupling of Extreme-Value Theory and Volatility Updating with Value-at-Risk Estimation in Emerging Markets: A South African Test

Multinational Finance Journal ◽

10.17578/7-1/2-1 ◽

2003 ◽

Vol 7 (1/2) ◽

pp. 3-23 ◽

Cited By ~ 15

Author(s):

Anthony J. Seymour ◽

◽

Daniel A. Polakow ◽

Keyword(s):

At Risk ◽

Emerging Markets ◽

South African ◽

Extreme Value Theory ◽

Value At Risk ◽

Risk Estimation ◽

Value Theory ◽

Extreme Value

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Estimating the Value-at-Risk: A Comparative Study of the Extreme Value Theory and Transformed Kernel Density Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2009130 ◽

2012 ◽

Author(s):

Yi Ling Michelle-Joy Low

Keyword(s):

At Risk ◽

Comparative Study ◽

Extreme Value Theory ◽

Value At Risk ◽

Kernel Density ◽

Value Theory ◽

Extreme Value

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Determining the premium of paddy insurance using the extreme value theory method and the operational value at risk approach

Journal of Physics Conference Series ◽

10.1088/1742-6596/1722/1/012059 ◽

2021 ◽

Vol 1722 ◽

pp. 012059

Author(s):

Riaman ◽

Sukono ◽

S Supian ◽

N Ismail

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Theory Method ◽

Risk Approach

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Value At Risk Using Garch Volatility Models Augmented With Extreme Value Theory

Studies in Economics and Econometrics ◽

10.1080/10800379.2014.12097269 ◽

2014 ◽

Vol 38 (3) ◽

pp. 1-18

Author(s):

A. Dicks ◽

W.J. Conradie ◽

T. de Wet

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Volatility Models

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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory

SSRN Electronic Journal ◽

10.2139/ssrn.2147760 ◽

2011 ◽

Author(s):

Ryan Brauchler

Keyword(s):

At Risk ◽

Nonparametric Estimation ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Expected Shortfall

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Portfolio Value at Risk Bounds Using Extreme Value Theory

International Journal of Economics and Finance ◽

10.5539/ijef.v4n3p204 ◽

2012 ◽

Vol 4 (3) ◽

Cited By ~ 1

Author(s):

Skander Slim ◽

Imed Gammoudi ◽

Lotfi Belkacem

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Risk Bounds

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