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Extreme Value Theory Performance in the Event of Major Financial Crises
Year Of Publication: 2009
Month Of Publication: February
Pages: 39
Download Count: 161
View Count:
Comment Num: 0
Language: EN
Source: working paper
Who Can Read: Free
Date: 3-22-2009
Publisher: Administrator
Summary
Extreme value theory (EVT) provides a method to estimate VaR at high quantiles of the distribution focusing on unusual circumstances. This paper employs EVT to calculate VaR for ten stock market indices belonging to developed and emerging markets in two different ways: unconditional EVT on raw returns and conditional EVT through quasi–maximum likelihood. The performance of EVT representations during the 2008 turmoil reveals that this methodology could have helped institutions to avoid huge losses arising from market disasters. A simple exercise on the constitution of Regulatory Capital illustrates the advantages of EVT.
This document is published in International Journal of Banking, Accounting and Finance (volume 4, number 2) August 2012, 94-134.
http://dx.doi.org/10.1504/IJBAAF.2012.048320
Author(s)
Rossignolo, Adrián Sign in to follow this author
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