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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...
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) | ||||
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Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
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Divisions: | Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School |
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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: |
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Volume: | Vol.2001 | ||||
Number: | No.2 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | Economic and Social Research Council (Great Britain) (ESRC) | ||||
Grant number: | R00429834305 (ESRC) |
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