Translated title: Measuring Extremes: Empirical Application on European Markets
Authors: Öztürk, Durmuş ; Avdulaj, Krenar (advisor) ; Janda, Karel (referee)
Document type: Master’s theses
Year: 2015
Language: eng
Abstract: This study employs Extreme Value Theory and several univariate methods to compare their Value-at-Risk and Expected Shortfall predictive performance. We conduct several out-of-sample backtesting procedures, such as uncondi- tional coverage, independence and conditional coverage tests. The dataset in- cludes five different stock markets, PX50 (Prague, Czech Republic), BIST100 (Istanbul, Turkey), ATHEX (Athens, Greece), PSI20 (Lisbon, Portugal) and IBEX35 (Madrid, Spain). These markets have different financial histories and data span over twenty years. We analyze the global financial crisis period sep- arately to inspect the performance of these methods during the high volatility period. Our results support the most common findings that Extreme Value Theory is one of the most appropriate risk measurement tools. In addition, we find that GARCH family of methods, after accounting for asymmetry and fat tail phenomena, can be equally useful and sometimes even better than Extreme Value Theory based method in terms of risk estimation. Keywords Extreme Value Theory, Value-at-Risk, Expected Shortfall, Out-of-Sample Backtesting Author's e-mail ozturkdurmus@windowslive.com Supervisor's e-mail ies.avdulaj@gmail.com
Keywords: Expected Shortfall; Extreme Value Theory; Out-of-Sample Backtesting; Value-at-Risk; Expected Shortfall; Extreme Value Theory; Out-of-Sample Backtesting; Value-at-Risk

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/67272

Permalink: http://www.nusl.cz/ntk/nusl-336407


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses
 Record created 2017-06-19, last modified 2022-03-04


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