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Portfolio Value-at-Risk Bounds Using Extreme Value Theory
Company: University of Sousse
Year Of Publication: 2010
Month Of Publication: March
Pages: 17
Download Count: 20
View Count: 2027
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 4-10-2010
Publisher: Administrator
The aim of this paper is to apply a semi-parametric methodology developed by Mesfioui and Quessy (2005) to derive the Value-at-Risk bounds for portfolios of possibly dependent financial assets when the marginal return distribution is in the domain of attraction of the generalized extreme value distribution while the dependence structure between financial assets remains unknown. However, These bounds are very sensitive to location changes and depend heavily on the actual location. Modified VaR bounds are derived through an extension of the Vermaat et al. (2005) contribution on quantile estimation of large order to a multivariate setting which enjoy the interesting property of location invariance. Empirical studies for several market indexes are carried out to illustrate our approach.
This document is published in International Journal of Economics and Finance (volume 4, number 3) March 2012, 204-215.
Gammoudi, Imed Sign in to follow this author
Belkacem, Lotfi Sign in to follow this author
Slim, Skander Sign in to follow this author
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