Summary
This paper examines the practical usefulness of Extreme Value Theory (EVT) techniques for estimating Value-at-Risk (VaR). Unlike most past studies, the performance of EVT estimators of empirical return distributions. We show that for confidence levels similar to those commonly used in market risk calculations, EVT and naive estimators yield almost identical results when applied to one-day emerging estimators yield different results on actual data but differences disappear in a Monte Carlo exercises assuming t-distributed return innovations.
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Kiesel, R., Perraudin, W., Taylor, A. (2003). An Extreme Analysis of VaRs for Emerging Market Benchmark Bonds. In: Bol, G., Nakhaeizadeh, G., Rachev, S.T., Ridder, T., Vollmer, KH. (eds) Credit Risk. Contributions to Economics. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-59365-9_6
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DOI: https://doi.org/10.1007/978-3-642-59365-9_6
Publisher Name: Physica-Verlag HD
Print ISBN: 978-3-7908-0054-8
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