Managing extreme risks in tranquil and volatile markets using conditional extreme value theory

DSpace/Manakin Repository

Search OPUS

Advanced Search


My Account

Show simple item record Bystrom, H. en_US 2009-12-21T02:37:17Z 2009-12-21T02:37:17Z 2005 en_US
dc.identifier 2004002047 en_US
dc.identifier.citation Bystrom, H. 2005 'Managing extreme risks in tranquil and volatile markets using conditional extreme value theory', International Review of Financial Analysis, vol. 13, no. 2, pp. 459-470. en_US
dc.identifier.issn 1057-5219 en_US
dc.identifier.other C1 en_US
dc.description.abstract Financial risk management typically deals with low-probability events in the tails of asset price distributions. To capture the behavior of these tails, one should therefore rely on models that explicitly focus on the tails. Extreme value theory (EVT)-based models do exactly that, and in this paper, we apply both unconditional and conditional EVT models to the management of extreme market risks in stock markets. We find conditional EVT models to give particnlarly accurate Valueat- Risk (VaR) measures, and a comparison with traditional (Generalized ARCH (GARCH)) approaches to calculate VaR demonstrates EVT as being the superior approach both for standard and more extreme VaR quantiles. en_US
dc.publisher Elsevier en_US
dc.relation.isbasedon en_US
dc.title Managing extreme risks in tranquil and volatile markets using conditional extreme value theory en_US
dc.parent International Review of Financial Analysis en_US
dc.journal.volume 13 en_US
dc.journal.number 2 en_US
dc.publocation Amsterdam, The Netherlands en_US
dc.identifier.startpage 459 en_US
dc.identifier.endpage 470 en_US Marketing en_US
utslib.copyright.status Closed Access 2015-04-15 12:17:09.805752+10
pubs.declined 2014-11-24T16:14:46.532+1100
pubs.declined 2015-03-13T12:09:33.355+1100
pubs.declined 2015-03-13T12:09:33.360+1100
pubs.declined 2015-03-13T17:30:00.358+1100
pubs.declined 2015-03-13T18:32:40.926+1100
pubs.declined 2015-03-13T20:42:23.268+1100
pubs.declined 2015-03-13T20:45:07.493+1100
pubs.declined 2015-03-13T21:04:58.399+1100
pubs.declined 2015-03-13T21:20:51.858+1100
pubs.declined 2015-03-13T21:43:27.525+1100
pubs.declined 2015-03-13T22:57:49.94+1100
pubs.declined 2015-03-13T23:03:39.560+1100
pubs.declined 2015-03-13T23:05:45.629+1100
pubs.declined 2015-03-14T00:11:29.578+1100
pubs.declined 2015-03-14T00:12:02.655+1100
pubs.declined 2015-03-14T00:12:09.179+1100
pubs.declined 2015-03-14T00:53:07.729+1100
pubs.declined 2015-03-14T01:52:27.715+1100
pubs.declined 2015-03-14T01:56:45.706+1100
pubs.declined 2015-03-14T02:15:44.165+1100

Files in this item

This item appears in the following Collection(s)

Show simple item record