A comparative study of VaR and ES using extreme value theory
(2020) NEKH01 20201Department of Economics
- Abstract
- Using data from OMXS30, we study which of the models block maxima and peaks-over-threshold, based on extreme value theory, are the most accurate when estimating the risk measures Value-at-Risk and Expected Shortfall. To perform this analysis, the risk measures are backtested. The extreme observations are fitted to the generalized extreme value distribution and the generalized Pareto distribution using maximum likelihood estimation. This study conclude that when estimating Value at Risk, block maxima is a more accurate model. When estimating Expected Shortfall, the difference between the models is not statistical significant.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9013722
- author
- Andersson, Klara LU
- supervisor
- organization
- alternative title
- En jämförelsestudie av VaR och ES med hjälp av extremvärdesteori
- course
- NEKH01 20201
- year
- 2020
- type
- M2 - Bachelor Degree
- subject
- keywords
- extreme value theory, block maxima, peaks-over-threshold, backtesting, value-at-risk, expected shortfall
- language
- English
- id
- 9013722
- date added to LUP
- 2020-08-29 11:22:46
- date last changed
- 2020-08-29 11:22:46
@misc{9013722, abstract = {{Using data from OMXS30, we study which of the models block maxima and peaks-over-threshold, based on extreme value theory, are the most accurate when estimating the risk measures Value-at-Risk and Expected Shortfall. To perform this analysis, the risk measures are backtested. The extreme observations are fitted to the generalized extreme value distribution and the generalized Pareto distribution using maximum likelihood estimation. This study conclude that when estimating Value at Risk, block maxima is a more accurate model. When estimating Expected Shortfall, the difference between the models is not statistical significant.}}, author = {{Andersson, Klara}}, language = {{eng}}, note = {{Student Paper}}, title = {{A comparative study of VaR and ES using extreme value theory}}, year = {{2020}}, }