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Measuring Financial Risks by Peak Over Threshold Method

Zhang, Bing LU (2016) NEKN02 20161
Department of Economics
Abstract
Assessing the probability of rare and extreme events is an important issue in the risk management of financial portfolios. Extreme value theory provides the solid fundamentals needed for the statistical modelling of such events and the computation of extreme risk measures. The focus of the paper is on the use of the peak over threshold method under extreme value theory to compute right tail risk measures using Value at Risk and Expected Shortfall and to understand how models perform in different economic situations by back-testing, applying it to the S&P 500 Index and one of the Index - Ford Motor Company. Both unconditional and conditional GARCH(1,1) models with zero or non-zero parametric
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author
Zhang, Bing LU
supervisor
organization
alternative title
An application of Value-at-Risk and Expected Shortfall
course
NEKN02 20161
year
type
H1 - Master's Degree (One Year)
subject
keywords
Extreme Value Theory, Peak Over Threshold, Value at Risk, Expected Shortfall, Back-testing, GARCH(1, 1)
language
English
id
8889572
date added to LUP
2016-09-02 15:39:43
date last changed
2016-09-02 15:39:43
@misc{8889572,
  abstract     = {Assessing the probability of rare and extreme events is an important issue in the risk management of financial portfolios. Extreme value theory provides the solid fundamentals needed for the statistical modelling of such events and the computation of extreme risk measures. The focus of the paper is on the use of the peak over threshold method under extreme value theory to compute right tail risk measures using Value at Risk and Expected Shortfall and to understand how models perform in different economic situations by back-testing, applying it to the S&P 500 Index and one of the Index - Ford Motor Company. Both unconditional and conditional GARCH(1,1) models with zero or non-zero parametric},
  author       = {Zhang, Bing},
  keyword      = {Extreme Value Theory,Peak Over Threshold,Value at Risk,Expected Shortfall,Back-testing,GARCH(1,1)},
  language     = {eng},
  note         = {Student Paper},
  title        = {Measuring Financial Risks by Peak Over Threshold Method},
  year         = {2016},
}