Detail práce

Measuring Extremes: Empirical Application on European Markets

Autor: Durmuş Öztürk
Rok: 2015 - zimní
Vedoucí: Mgr. Krenar Avdulaj Ph.D.
Konzultant:
Typ práce: Diplomová
MEF
Jazyk: Anglicky
Stránky: 121
Ocenění:
Odkaz: https://is.cuni.cz/webapps/zzp/detail/125662/
Abstrakt: 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 unconditional
coverage, independence and conditional coverage tests. The dataset includes
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 separately
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.

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