Estimating and forecasting portfolio’s Value-at-Risk with wavelet-based extreme value theory: Evidence from crude oil prices and US exchange rates

Journal of the Operational Research Society ◽

10.1057/s41274-016-0133-z ◽

2017 ◽

Vol 68 (11) ◽

pp. 1352-1362 ◽

Author(s):

Rania Jammazi ◽

Duc Khuong Nguyen

Keyword(s):

At Risk ◽

Exchange Rates ◽

Crude Oil ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Crude Oil Prices

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Value at Risk VaR of Dynamic Crude Oil Prices for Project Risk and Economics – Application of Extreme Value Theory EVT and Peak-Over-Threshold POT Model

10.2118/183482-ms ◽

2016 ◽

Author(s):

Sudirman Rasmin Nurhadi

Keyword(s):

At Risk ◽

Crude Oil ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Project Risk ◽

Crude Oil Prices ◽

Peak Over Threshold

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Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2017.08.064 ◽

2018 ◽

Vol 490 ◽

pp. 1423-1433 ◽

Author(s):

Wenhua Yu ◽

Kun Yang ◽

Yu Wei ◽

Likun Lei

Keyword(s):

At Risk ◽

Crude Oil ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Expected Shortfall ◽

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Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates

Journal of Mathematical Finance ◽

10.4236/jmf.2017.74045 ◽

2017 ◽

Vol 07 (04) ◽

pp. 846-870 ◽

Author(s):

Cyprian O. Omari ◽

Peter N. Mwita ◽

Antony G. Waititu

Keyword(s):

At Risk ◽

Exchange Rates ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Currency Exchange ◽

Currency Exchange Rates

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Estimating the Value-at-Risk: A Comparative Study of the Extreme Value Theory and Transformed Kernel Density Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2009130 ◽

2012 ◽

Author(s):

Yi Ling Michelle-Joy Low

Keyword(s):

At Risk ◽

Comparative Study ◽

Extreme Value Theory ◽

Value At Risk ◽

Kernel Density ◽

Value Theory ◽

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Determining the premium of paddy insurance using the extreme value theory method and the operational value at risk approach

Journal of Physics Conference Series ◽

10.1088/1742-6596/1722/1/012059 ◽

2021 ◽

Vol 1722 ◽

pp. 012059

Author(s):

Riaman ◽

Sukono ◽

S Supian ◽

N Ismail

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Theory Method ◽

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Value At Risk Using Garch Volatility Models Augmented With Extreme Value Theory

Studies in Economics and Econometrics ◽

10.1080/10800379.2014.12097269 ◽

2014 ◽

Vol 38 (3) ◽

pp. 1-18

Author(s):

A. Dicks ◽

W.J. Conradie ◽

T. de Wet

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Volatility Models

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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory

SSRN Electronic Journal ◽

10.2139/ssrn.2147760 ◽

2011 ◽

Author(s):

Ryan Brauchler

Keyword(s):

At Risk ◽

Nonparametric Estimation ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Expected Shortfall

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Portfolio Value at Risk Bounds Using Extreme Value Theory

International Journal of Economics and Finance ◽

10.5539/ijef.v4n3p204 ◽

2012 ◽

Vol 4 (3) ◽

Author(s):

Skander Slim ◽

Imed Gammoudi ◽

Lotfi Belkacem

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

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Portfolio value-at-risk forecasting with GA-based extreme value theory

Expert Systems with Applications ◽

10.1016/j.eswa.2008.01.086 ◽

2009 ◽

Vol 36 (2) ◽

pp. 2503-2512 ◽

Author(s):

Ping-Chen Lin ◽

Po-Chang Ko

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Risk Forecasting

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Filtered extreme‐value theory for value‐at‐risk estimation: evidence from Turkey

The Journal of Risk Finance ◽

10.1108/15265941011025189 ◽

2010 ◽

Vol 11 (2) ◽

pp. 164-179 ◽

Author(s):

Alper Ozun ◽

Atilla Cifter ◽

Sait Yılmazer

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Risk Estimation ◽

Value Theory ◽

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