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

Marco Bee; Luca Trapin

doi:10.3390/risks6020045

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

Marco Bee^*, Luca Trapin

^*Autore corrispondente per questo lavoro

Facoltà di Economia

University of Trento

Risultato della ricerca: Contributo in rivista › Articolo

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 originale	Inglese
pagine (da-a)	45-61
Numero di pagine	17
Rivista	Risks
Volume	6
Numero di pubblicazione	2
DOI	https://doi.org/10.3390/risks6020045
Stato di pubblicazione	Pubblicato - 2018

All Science Journal Classification (ASJC) codes

Contabilità
Economia, Econometria e Finanza (varie)
Strategia e Management

Keywords

Extreme Value Theory
quantile
risk
volatility

Accesso al documento

10.3390/risks6020045

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

Abstract

All Science Journal Classification (ASJC) codes

Keywords

Accesso al documento

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