Πολυμεταβλητή θεωρία ακραίων τιμών και η εφαρμογή της στη μέτρηση του λειτουργικού και αγοραίου κινδύνου
Multivariate extreme value theory : an application to operational and market risk measurement
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Keywords
Θεωρία ακραίων τιμών ; Κίνδυνος ; Μαύροι κύκλοιAbstract
In this paper, we focus on the univariate and multivariate extreme value theory (EVT)
employing copulas. We calculate the 95% and 99% VaR, based on EVT, for the market risk,
both at individual and portfolio level and we compare them with those of standard
econometric methods. Finally, we generate extreme operational losses, through widely
used loss distributions, and we calculate the possible losses at both the 95% and 99% level,
with variables’ dependence modeled via the t copula.