Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review

Luca Trapin, Marco Bee

Risultato della ricerca: Contributo in rivistaArticolo in rivista

2 Citazioni (Scopus)

Abstract

One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks. The purpose of this paper is to review these methods.
Lingua originaleEnglish
pagine (da-a)45-61
Numero di pagine17
RivistaRisks
Volume6
DOI
Stato di pubblicazionePubblicato - 2018

Keywords

  • Extreme Value Theory
  • quantile
  • risk
  • volatility

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