About: The Extreme Value Theory and Copulas as a Tool to Measure Market Risk

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Assessing the extreme events is crucial in financial risk management. All risk managers and financial institutions want to know the risk of their portfolio under rare events scenarios. We illustrate a multivariate market risk estimating method which employs Monte Carlo simulations to estimate Value-at-Risk (VaR) for a portfolio of 4 stock exchange indexes from Central Europe. The method uses the non-parametric empirical distribution to capture small risks and the parametric Extreme Value Theory to capture large and rare risks. We compare estimates of this method with historical simulation and variance-covariance method under low and high volatility samples of data. In general historical simulation method gives higher estimates of VaR for extreme events, while variance-covariance lower. The method that we illustrate gives a result in between the two because it considers historical performance of the stocks and also corrects for the heavy tails of the distribution. We conclude that the estimate method that we illustrate here is useful in estimating VaR for extreme events, especially for high volatility times. Assessing the extreme events is crucial in financial risk management. All risk managers and financial institutions want to know the risk of their portfolio under rare events scenarios. We illustrate a multivariate market risk estimating method which employs Monte Carlo simulations to estimate Value-at-Risk (VaR) for a portfolio of 4 stock exchange indexes from Central Europe. The method uses the non-parametric empirical distribution to capture small risks and the parametric Extreme Value Theory to capture large and rare risks. We compare estimates of this method with historical simulation and variance-covariance method under low and high volatility samples of data. In general historical simulation method gives higher estimates of VaR for extreme events, while variance-covariance lower. The method that we illustrate gives a result in between the two because it considers historical performance of the stocks and also corrects for the heavy tails of the distribution. We conclude that the estimate method that we illustrate here is useful in estimating VaR for extreme events, especially for high volatility times. (en)
Title	The Extreme Value Theory and Copulas as a Tool to Measure Market Risk The Extreme Value Theory and Copulas as a Tool to Measure Market Risk (en)
skos:prefLabel	The Extreme Value Theory and Copulas as a Tool to Measure Market Risk The Extreme Value Theory and Copulas as a Tool to Measure Market Risk (en)
skos:notation	RIV/00216208:11230/12:10109686!RIV13-MSM-11230___
http://linked.open...avai/predkladatel	Fakulta sociálních věd
http://linked.open...avai/riv/aktivita	N
http://linked.open...avai/riv/aktivity	N
http://linked.open...iv/cisloPeriodika	29
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Avdulaj, Krenar
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	135968
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/12:10109686
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Risk; Market; Measure; Tool; Copulas; Theory; Value; Extreme (en)
http://linked.open.../riv/klicoveSlovo	Tool Value Risk Theory Market Copulas Measure Extreme
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[995CEDB8D50C]
http://linked.open...i/riv/nazevZdroje	Bulletin of the Czech Econometric Society
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2012
http://linked.open...v/svazekPeriodika	19
http://linked.open...iv/tvurceVysledku	Avdulaj, Krenar
issn	1212-074X
number of pages	21 (xsd:int)
http://localhost/t...ganizacniJednotka	11230
is http://linked.open...avai/riv/vysledek of	The Extreme Value Theory and Copulas as a Tool to Measure Market Risk

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