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Statistics of Extreme Events in RiskManagement: The Impact of the Subprime and Global Financial Crisis on the German Stock Market
Company: North American Journal of Economics and Finance
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: July
Resource Link: Click here to open
Download Count: 0
View Count: 1607
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-14-2014
Publisher: Administrator
We employ self-exciting marked point processes for estimating the tail of loss distributions. The main result is that the time between extreme events plays an important role in the statistical analysis of these events and could therefore be useful to forecast the size and intensity of future extreme events in financial markets. We illustrate this point by measuring the impact of the subprime and global financial crisis on the German stock market in extenso, and briefly as a benchmark in the US stock market. With the help of our fitted models, we backtest the Value at Risk at various quantiles to assess the likeliness of different extreme movements on the DAX, S&P 500 and Nasdaq stock market indices during the crisis. The results show that the proposed models provide accurate risk measures according to the Basel Committee and make better use of the available information.
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Herrera, Rodrigo Sign in to follow this author
Schipp, Bernhard Sign in to follow this author
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