Managing extreme risks in tranquil and volatile markets using conditional extreme value theory

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dc.contributor.author Bystrom, H. en_US
dc.date.accessioned 2009-12-21T02:37:17Z
dc.date.available 2009-12-21T02:37:17Z
dc.date.issued 2005 en_US
dc.identifier 2004002047 en_US
dc.identifier.citation Bystrom, H. 2005 'Managing extreme risks in tranquil and volatile markets using conditional extreme value theory', International Review of Financial Analysis, vol. 13, no. 2, pp. 459-470. en_US
dc.identifier.issn 1057-5219 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5209
dc.description.abstract Financial risk management typically deals with low-probability events in the tails of asset price distributions. To capture the behavior of these tails, one should therefore rely on models that explicitly focus on the tails. Extreme value theory (EVT)-based models do exactly that, and in this paper, we apply both unconditional and conditional EVT models to the management of extreme market risks in stock markets. We find conditional EVT models to give particnlarly accurate Valueat- Risk (VaR) measures, and a comparison with traditional (Generalized ARCH (GARCH)) approaches to calculate VaR demonstrates EVT as being the superior approach both for standard and more extreme VaR quantiles. en_US
dc.publisher Elsevier en_US
dc.relation.isbasedon http://dx.doi.org/10.1016/j.ijresmar.2005.09.003 en_US
dc.title Managing extreme risks in tranquil and volatile markets using conditional extreme value theory en_US
dc.parent International Review of Financial Analysis en_US
dc.journal.volume 13 en_US
dc.journal.number 2 en_US
dc.publocation Amsterdam, The Netherlands en_US
dc.identifier.startpage 459 en_US
dc.identifier.endpage 470 en_US
dc.cauo.name Marketing en_US


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