Bouyé, Eric (2002) Multivariate extremes at work for portfolio risk measurement. Working Paper. Warwick Business School Financial Econometrics Research Centre, University of Warwick.

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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
Date:	January 2002
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Status:	Not Peer Reviewed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)
URI:	http://wrap.warwick.ac.uk/id/eprint/1825

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