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Multivariate extremes at work for portfolio risk measurement

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Bouyé, Eric (2002) Multivariate extremes at work for portfolio risk measurement. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.2001 (No.2).

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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...

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Abstract

This paper proposes a methodology to provide risk measures for portfolios during extreme
events. The approach is based on splitting the multivariate extreme value distribution of the assets
of the portfolio into two parts: the distributions of each asset and their dependence function. The
estimation problem is also investigated. Then, stress-testing is applied for market indices portfolios
and Monte-Carlo based risk measures — Value-at-Risk and Expected Shortfall — are provided.

Item Type: Working or Discussion Paper (Working Paper)
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Divisions: Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre
Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH): Risk -- Mathematical models, Financial crises, Extreme value theory, Multivariate analysis
Series Name: Working Papers Series
Publisher: Warwick Business School Financial Econometrics Research Centre
Place of Publication: University of Warwick
Official Date: January 2002
Dates:
DateEvent
January 2002Published
Volume: Vol.2001
Number: No.2
Status: Not Peer Reviewed
Access rights to Published version: Open Access
Funder: Economic and Social Research Council (Great Britain) (ESRC)
Grant number: R00429834305 (ESRC)

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