Estimating value-at-risk: a point process approach

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Version: Final published version
Serval ID
serval:BIB_6069A0F54B7C
Type
Article: article from journal or magazin.
Collection
Publications
Title
Estimating value-at-risk: a point process approach
Journal
Quantitative Finance
Author(s)
Chavez-Demoulin V., Davison A. C., McNeil A. J.
ISSN
1469-7688
Publication state
Published
Issued date
2005
Peer-reviewed
Oui
Volume
5
Number
2
Pages
227-234
Language
english
Abstract
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.
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23/08/2011 9:00
Last modification date
20/08/2019 15:17
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