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A Comparison of EVT and Standard VaR Estimations

Jaroslav Baran & Jiří Witzany

Bulletin of the Czech Econometric Society2011article
ABDC C
Weight
0.31

What the paper says

In this paper, Extreme value theory (EVT) is applied in estimating low quantiles of P/L distribution and the results are compared to common VaR methodologies. The fundamental theory behind EVT is built, and peaks-over-threshold method is used for modeling the tail of the distribution of losses with Generalized Pareto Distribution (GPD). Practical issues such as time varying volatility of returns, and multivariate time series (portfolio of financial instruments) are covered.

3 citations

Cite this paper

@article{jaroslav2011,
  title        = {{A Comparison of EVT and Standard VaR Estimations}},
  author       = {Jaroslav Baran & Jiří Witzany},
  journal      = {Bulletin of the Czech Econometric Society},
  year         = {2011},
}

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A Comparison of EVT and Standard VaR Estimations

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Evidence weight

0.31

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.14 × 0.4 = 0.06
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.