The new hybrid value at risk approach based on the extreme value theory
El nuevo enfoque híbrido de value at risk basado en la teoría de valores extremos
| dc.creator | Radivojević, Nikola | |
| dc.creator | Cvjetković, Milena | |
| dc.creator | Stepanov, Saša | |
| dc.date | 2016-06-24 | |
| dc.date.accessioned | 2022-07-05T18:33:31Z | |
| dc.date.available | 2022-07-05T18:33:31Z | |
| dc.identifier | https://estudiosdeeconomia.uchile.cl/index.php/EDE/article/view/41863 | |
| dc.identifier.uri | https://revistaschilenas.uchile.cl/handle/2250/189035 | |
| dc.description | In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable for measuring market risk in the emerging markets. It is designed to capture the empirical features of returns with emerging markets, such as leptokurtosis, asymmetry, autocorrelation and heteroscedasticity. | en-US |
| dc.description | Este trabajo introduce un nuevo enfoque híbrido basado en la teoría de valores extremos para la estimación conjunta de valor al riesgo (Value at Risk, VaR) y expectativa de caída (Expected Shortfall, ES) para cuantiles superiores de la distribución de retornos. Este enfoque es apropiado para medir el riesgo de mercado en mercados emergentes y está diseñado para capturar sus regularidades empíricas: leptokurtosis, asimetría, autocorrelación y heteroscedasticidad. | es-ES |
| dc.format | text/html | |
| dc.language | eng | |
| dc.publisher | Departamento de Economía - Facultad de Economía y Negocios, Universidad de Chile. | en-US |
| dc.relation | https://estudiosdeeconomia.uchile.cl/index.php/EDE/article/view/41863/43411 | |
| dc.source | Estudios de Economía; Vol. 43 No. 1 (2016): June; pp. 29-52 | en-US |
| dc.source | Estudios de Economía; Vol. 43 Núm. 1 (2016): June; pp. 29-52 | es-ES |
| dc.source | 0718-5286 | |
| dc.source | 0304-2758 | |
| dc.subject | Value at Risk | en-US |
| dc.subject | Extreme Value Theory | en-US |
| dc.subject | Expected Shortfall | en-US |
| dc.subject | emerging markets | en-US |
| dc.subject | market risk | en-US |
| dc.subject | Value at Risk | es-ES |
| dc.subject | Extreme Value Theory | es-ES |
| dc.subject | Expected Shortfall | es-ES |
| dc.subject | mercados emergentes | es-ES |
| dc.title | The new hybrid value at risk approach based on the extreme value theory | en-US |
| dc.title | El nuevo enfoque híbrido de value at risk basado en la teoría de valores extremos | es-ES |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion |
This item appears in the following Collection(s)
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Estudios de Economía
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