EVT-based estimation of risk capital and convergence of high quantiles

Paul Embrechts A

33 citations0/0 files storedAdvances in Applied Probability

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

Abstract

We discuss some issues regarding the accuracy of a quantile-based estimation of risk capital. In this context, extreme value theory (EVT) emerges naturally. The paper sheds some further light on the ongoing discussion concerning the use of a semi-parametric approach like EVT and the use of specific parametric models such as the g-and-h. In particular, we discusses problems and pitfalls evolving from such parametric models when using EVT and highlight the importance of the underlying second-order tail behavior.

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References

1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 1987Extreme Values, Regular Variation and Point Processes 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2004Statistics of Extremes 1990Models for Exceedances Over High Thresholds 2006Extreme Value Theory : An Introduction

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2015Risk concentration based on Expectiles for extreme risks under FGM copula

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