Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)

The conditional extreme value theory has been proven to be one of the most successful in estimating market risk. The implementation of this method in the framework of the Peaks Over Threshold (POT) model requires one to choose a threshold for fitting the generalized Pareto distribution (GPD). In thi...

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Detalles Bibliográficos
Autores: Benito Muela, Sonia, López-Martín, Carmen, Navarro, Mª Ángeles
Tipo de recurso: informe técnico
Fecha de publicación:2018
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/17437
Acceso en línea:https://hdl.handle.net/20.500.14352/17437
Access Level:acceso abierto
Palabra clave:G19
G29
Extreme Value Theory
Peaks over Threshold
Value at Risk
Expected Shortfall
Generalized Pareto Distribution.
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
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oai_identifier_str oai:docta.ucm.es:20.500.14352/17437
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repository_id_str
spelling Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)Benito Muela, SoniaLópez-Martín, CarmenNavarro, Mª ÁngelesG19G29Extreme Value TheoryPeaks over ThresholdValue at RiskExpected ShortfallGeneralized Pareto Distribution.Econometría (Economía)Mercados bursátiles y financieros5302 EconometríaThe conditional extreme value theory has been proven to be one of the most successful in estimating market risk. The implementation of this method in the framework of the Peaks Over Threshold (POT) model requires one to choose a threshold for fitting the generalized Pareto distribution (GPD). In this paper, we investigate whether the selection of the threshold is important for the quantification of market risk. For measuring risk, we use the value at risk (VaR) measure and the expected shortfall (ES) measure. The study has been done for a large set of assets. The results obtained indicate that the quantification of the market risk through the VaR and ES measures does not depend on the threshold selected. This result is also found in a smaller sample.Universidad Complutense de Madrid20182018-09-0120182018-09-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/17437reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/174372026-06-02T12:44:21Z
dc.title.none.fl_str_mv Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)
title Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)
spellingShingle Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)
Benito Muela, Sonia
G19
G29
Extreme Value Theory
Peaks over Threshold
Value at Risk
Expected Shortfall
Generalized Pareto Distribution.
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
title_short Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)
title_full Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)
title_fullStr Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)
title_full_unstemmed Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)
title_sort Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)
dc.creator.none.fl_str_mv Benito Muela, Sonia
López-Martín, Carmen
Navarro, Mª Ángeles
author Benito Muela, Sonia
author_facet Benito Muela, Sonia
López-Martín, Carmen
Navarro, Mª Ángeles
author_role author
author2 López-Martín, Carmen
Navarro, Mª Ángeles
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv G19
G29
Extreme Value Theory
Peaks over Threshold
Value at Risk
Expected Shortfall
Generalized Pareto Distribution.
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
topic G19
G29
Extreme Value Theory
Peaks over Threshold
Value at Risk
Expected Shortfall
Generalized Pareto Distribution.
Econometría (Economía)
Mercados bursátiles y financieros
5302 Econometría
description The conditional extreme value theory has been proven to be one of the most successful in estimating market risk. The implementation of this method in the framework of the Peaks Over Threshold (POT) model requires one to choose a threshold for fitting the generalized Pareto distribution (GPD). In this paper, we investigate whether the selection of the threshold is important for the quantification of market risk. For measuring risk, we use the value at risk (VaR) measure and the expected shortfall (ES) measure. The study has been done for a large set of assets. The results obtained indicate that the quantification of the market risk through the VaR and ES measures does not depend on the threshold selected. This result is also found in a smaller sample.
publishDate 2018
dc.date.none.fl_str_mv 2018
2018-09-01
2018
2018-09-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/17437
url https://hdl.handle.net/20.500.14352/17437
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,812429

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