The New Hybrid Value at Risk Approach Based on the Extreme Value Theory

Estudios de Economia., Vol. 43, No. 1, 2016

24 Pages Posted: 27 Jun 2016

See all articles by Nikola Radivojevic

Nikola Radivojevic

Technical College of Applied Studies, Kragujevac

Milena Cvjetkovic

University of Novi Sad - Faculty of Technical Sciences

Saša Stepanov

BAS, Belgrade

Date Written: June 24, 2016

Abstract

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.

Keywords: Value at Risk, Extreme Value Theory, Expected Shortfall, emerging markets, market risk

JEL Classification: G24, C22, C52, C53

Suggested Citation

Radivojevic, Nikola and Cvjetkovic, Milena and Stepanov, Saša, The New Hybrid Value at Risk Approach Based on the Extreme Value Theory (June 24, 2016). Estudios de Economia., Vol. 43, No. 1, 2016, Available at SSRN: https://ssrn.com/abstract=2800277

Nikola Radivojevic (Contact Author)

Technical College of Applied Studies, Kragujevac ( email )

Косовска 8
Kragujevac, 34000
Serbia

Milena Cvjetkovic

University of Novi Sad - Faculty of Technical Sciences ( email )

Trg Dositeja Obradovica 3
Novi Sad, 21000
Serbia

Saša Stepanov

BAS, Belgrade ( email )

Belgrade
Serbia

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