Empirical comparison of conventional methods and extreme value theory approach in value-at-risk assessment

Selena Totić

doi:10.5897/ajbm11.1265

Empirical comparison of conventional methods and extreme value theory approach in value-at-risk assessment

AFRICAN JOURNAL OF BUSINESS MANAGEMENT ◽

10.5897/ajbm11.1265 ◽

2011 ◽

Vol 5 (33) ◽

Author(s):

Selena Totić

Keyword(s):

Risk Assessment ◽

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Theory Approach ◽

Empirical Comparison ◽

Conventional Methods

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A conditional extreme value theory approach in value-at-risk forecasting: Evidence from Southeastern Europe and USA market

Industrija ◽

10.5937/industrija43-8036 ◽

2015 ◽

Vol 43 (4) ◽

pp. 7-23

Author(s):

Selena Totic

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Theory Approach ◽

Southeastern Europe ◽

Risk Forecasting

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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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Portfolio value-at-risk forecasting with GA-based extreme value theory

Expert Systems with Applications ◽

10.1016/j.eswa.2008.01.086 ◽

2009 ◽

Vol 36 (2) ◽

pp. 2503-2512 ◽

Cited By ~ 32

Author(s):

Ping-Chen Lin ◽

Po-Chang Ko

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Risk Forecasting

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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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Estimating the 'value at risk' of EUA futures prices based on the extreme value theory

International Journal of Global Energy Issues ◽

10.1504/ijgei.2011.045027 ◽

2011 ◽

Vol 35 (2/3/4) ◽

pp. 145 ◽

Cited By ~ 9

Author(s):

Zhi Fu Mi ◽

Yue Jun Zhang

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Futures Prices

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Estimating Value-at-Risk in Electricity Market Based on Grey Extreme Value Theory

The Open Cybernetics & Systemics Journal ◽

10.2174/1874110x01408010896 ◽

2014 ◽

Vol 8 (1) ◽

pp. 896-903

Author(s):

Ruiqing Wang

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Electricity Market ◽

Value At Risk ◽

Value Theory ◽

Extreme Value

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