Results 31 to 40 of about 501 (170)
Extreme Value Theory and Value at Risk: Application to OPEC Market [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2019 Regarding the role of the energy market, especially oil, on the economy of countries, it is important to identify the future evolution of the market. In this respect, predicting the changeable extreme evolution of the oil price is crucial for decision ...
mahtab mehrasa, Teymour Mohamadi
doaj +1 more source
Complexity, Volume 2021, Issue 1, 2021., 2021 Based on the daily data from January 2, 2019, to September 30, 2020, this paper uses the extended CoVaR model to measure the spillover effect of systemic risk among top 10 securities companies by market value in China, All Share Brokerage Index, All Share Financials Index, All Share Insurance Index, and CSI Banks Index. The conclusions are as follows: (
Ze-Jiong Zhou +4 more
wiley +1 more source
ESTIMASI NILAI CONDITIONAL VALUE AT RISK (CVaR) PORTOFOLIO MENGGUNAKAN METODE EVT-GJR-VINE COPULA
E-Jurnal Matematika, 2019 Conditional value at risk (CVaR) is widely used in risk measure that takes into account losses exceeding the value at risk level. The aim of this research is to compare the performance of the EVT-GJR-vine copula method and EVT-GARCH-vine copula method in
NI WAYAN UCHI YUSHI ARI SUDINA +2 more
doaj +1 more source
Discrete Dynamics in Nature and Society, Volume 2021, Issue 1, 2021., 2021 Existing studies on the financing difficulties of middle‐ and small‐sized enterprises (SMEs) have neglected the quantitative analysis of SMEs’ risk spillovers to banks. Therefore, taking China as an example, we have analyzed the financing difficulties of SMEs from the perspective of risk spillover. The GARCH time‐varying copula‐CoVaR model based on the
Jinghong Xu +3 more
wiley +1 more source
International Journal of Financial Studies, 2022 This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets ...
Joel Hinaunye Eita +1 more
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Adjusted Extreme Conditional Quantile Autoregression with Application to Risk Measurement
Journal of Probability and Statistics, Volume 2021, Issue 1, 2021., 2021 In this paper, we propose an extreme conditional quantile estimator. Derivation of the estimator is based on extreme quantile autoregression. A noncrossing restriction is added during estimation to avert possible quantile crossing. Consistency of the estimator is derived, and simulation results to support its validity are also presented.
Martin M. Kithinji +3 more
wiley +1 more source
A comparison of extreme value theory approaches for determining value at risk [PDF]
, 2005 This paper compares a number of different extreme value models for determining the value at risk (VaR) of three LIFFE futures contracts. A semi-nonparametric approach is also proposed, where the tail events are modeled using the generalised Pareto ...
Brooks, Chris +3 more
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Price Risk Measurement of China’s Soybean Futures Market Based on the VAR‐GJR‐GARCH Model
Complexity, Volume 2021, Issue 1, 2021., 2021 As one of the main forces in the futures market, agricultural product futures occupy an important position in China’s market. As China’s futures market started late and its maturity was low, there are many risks. This study focuses on the Dalian soybean futures market.
Chuan-hui Wang +5 more
wiley +1 more source
Data, 2023 In this paper, a hybrid of a Wavelet Decomposition–Generalised Auto-Regressive Conditional Heteroscedasticity–Extreme Value Theory (WD-ARMA-GARCH-EVT) model is applied to estimate the Value at Risk (VaR) of BitCoin (BTC/USD) and the South African Rand ...
Thabani Ndlovu, Delson Chikobvu
doaj +1 more source
Estimation of Diversification Effects/Benefits Using the Generalised Pareto Distribution - Extreme Value Gumbel Copula Model [PDF]
, 2023 The objective of this paper is to estimate the diversification effects/benefits of an investment in a portfolio consisting of the South African Industrial (J520) and the Financial (J580) Indices using the Generalised Pareto Distributions (GPDs) with an ...
Chikobvu, D., Jakata, O.
core +2 more sources