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Empirical Study of Value-at-Risk and Expected Shortfall Models With Heavy Tails · Study

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PreprintEmpirical Study of Value-at-Risk and Expected Shortfall Models With Heavy Tails

Fotios Harmantzis2005

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Preprintgreen2005

Empirical Study of Value-at-Risk and Expected Shortfall Models With Heavy Tails

Fotios Harmantzis · Linyan Miao · Yifan Chien

29 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Probability and Risk Models

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References

1999Coherent Measures of Risk 2001An Introduction to Statistical Modeling of Extreme Values 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 2002On the coherence of expected shortfall

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2006Empirical study of value‐at‐risk and expected shortfall models with heavy tailsarticle · 32 shared references 2013EXTREME VALUE THEORY IN FINANCE: A SURVEYarticle · 15 shared references 2003Financial Risk and Heavy Tailschapter · 11 shared references 2011Extreme Value at Risk and Expected Shortfall During Financial Crisispreprint · 11 shared references 2003High volatility, thick tails and extreme value theory in value-at-risk estimationarticle · 10 shared references 2009Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Riskarticle · 10 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations29

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.788624

openalex_workW2029280348

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