Multivariate extremes at work for portfolio risk measurement
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).
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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...
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|
|Status:||Not Peer Reviewed|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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