Estimating value-at-risk: a point process approach

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Version: Final published version
ID Serval
serval:BIB_6069A0F54B7C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Estimating value-at-risk: a point process approach
Périodique
Quantitative Finance
Auteur⸱e⸱s
Chavez-Demoulin V., Davison A. C., McNeil A. J.
ISSN
1469-7688
Statut éditorial
Publié
Date de publication
2005
Peer-reviewed
Oui
Volume
5
Numéro
2
Pages
227-234
Langue
anglais
Résumé
We consider the modelling of extreme returns in financial time series, and introduce a marked point process model for the exceedances of a high threshold. This model has a self-exciting, Hawkes-process structure in which recent events affect the current intensity of threshold exceedances more than distant ones. Estimates of value-at-risk are derived for real datasets and the success of the estimation method is evaluated in backtests.
Web of science
Création de la notice
23/08/2011 9:00
Dernière modification de la notice
20/08/2019 15:17
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