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An Application of Extreme Value Theory for Measuring Financial Risk

Gilli, Manfred ; këllezi, Evis

In: Computational Economics, 2006, vol. 27, no. 2-3, p. 207-228

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    Titre
    • An Application of Extreme Value Theory for Measuring Financial Risk
    Auteur
    • Gilli, Manfred. Department of Econometrics, University of Geneva and FAME, Geneva, Switzerland
    • këllezi, Evis. Mirabaud & Cie, Boulevard du Théâtre 3, 1204, Geneva, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • Computational Economics, 2006, vol. 27, no. 2-3, p. 207-228. Springer US; http://www.springer-ny.com
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:321846
    Summary
    Assessing the probability of rare and extreme events is an important issue in the risk management of financial portfolios. Extreme value theory provides the solid fundamentals needed for the statistical modelling of such events and the computation of extreme risk measures. The focus of the paper is on the use of extreme value theory to compute tail risk measures and the related confidence intervals, applying it to several major stock market indices