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Value at Risk Calculations, Extreme Events, and Tail Estimation
The Journal of Derivatives, 2000Value at risk has become a standard approach for estimating and expressing a firm9s exposure to market risk. Unlike the traditional risk measure, standard deviation, VaR focuses only on the tail of the distribution of outcomes - the extreme events. This makes a lot of sense in theory, but a major problem arises in practice, because empirical returns ...
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Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation
Expert Systems with Applications, 2013This paper presents a heavy-tailed mixture model for describing time-varying conditional distributions in time series of returns on prices. Student-t component distributions are taken to capture the heavy tails typically encountered in such financial data.
Nikolaev, Nikolay Y. +2 more
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Extreme Returns, Tail Estimation, and Value-at-Risk [PDF]
, 1997 Accurate prediction of extreme events are of primary importance in many financial applications. The properties of historical simulation and Risk Metrics techniques for computing Valu-at Risk (VaR) are compared with a method which involves modelling the tails of financial returns explicitly with a tail estimator.
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Empirical study of value‐at‐risk and expected shortfall models with heavy tails
The Journal of Risk Finance, 2005PurposeThis paper aims to test empirically the performance of different models in measuring VaR and ES in the presence of heavy tails in returns using historical data.Design/methodology/approachDaily returns of popular indices (S&P500, DAX, CAC, Nikkei, TSE, and FTSE) and currencies (US dollar vs Euro, Yen, Pound, and Canadian dollar) for over ten ...
Fotios Harmantzis +2 more
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Heavy-tailed value-at-risk analysis for Malaysian stock exchange
Physica A: Statistical Mechanics and its Applications, 2008Abstract This article investigates the comparison of power-law value-at-risk (VaR) evaluation with quantile and non-linear time-varying volatility approaches. A simple Pareto distribution is proposed to account the heavy-tailed property in the empirical distribution of returns.
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Value-at-Risk and least squares tail index estimation [PDF]
, 1999 The empirical evidence of heavy tails in stock return data is recognised by risk managers as an important factor in assessing the Value-at-Risk and risk profile of investment portfolios. Tail index estimation appears to be a tailor-made tool for estimating the extreme quantiles of heavy tailed distributions, as it exploits the information provided by ...
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Uncertain random portfolio optimization model with tail value-at-risk
Soft Computing, 2022Qiqi Li, Zhongfeng Qin, Yingchen Yan
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American Cancer Society nutrition and physical activity guideline for cancer survivors
Ca-A Cancer Journal for Clinicians, 2022Cheryl L Rock +2 more
exaly
Variance reduction techniques for value-at-risk with heavy-tailed risk factors
2000 Winter Simulation Conference Proceedings (Cat. No.00CH37165), 2002P. Glasserman +2 more
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