scholarly journals Estimation and Performance Analysis of Risk Measures using Copula and Extreme Value Theory

2006 ◽  
Vol 19 (3) ◽  
pp. 481-504 ◽  
Keyword(s):  
Performance Analysis ◽  
Extreme Value Theory ◽  
Risk Measures ◽  
Value Theory ◽  
Extreme Value ◽  
And Performance

scholarly journals Risk Analysis of Gold Prices in Pakistan Using Extreme Value Theory

2021 ◽  
Vol 2021 ◽  
pp. 1-18
Author(s):  
Ghulam Raza Khan ◽  
Alanazi Talal Abdulrahman ◽  
Osama Alamri ◽  
Zahid Iqbal ◽  
Maqsood Ahmad
Keyword(s):  
Extreme Value Theory ◽  
Value At Risk ◽  
Risk Measures ◽  
Value Theory ◽  
Extreme Value ◽  
Return Level ◽  
Extreme Stress ◽  
Daily Data ◽  
Peak Over Threshold ◽  
The Impact

Extreme value theory (EVT) is useful for modeling the impact of crashes or situations of extreme stress on investor portfolios. EVT is mostly utilized in financial modeling, risk management, insurance, and hydrology. The price of gold fluctuates considerably over time, and this introduces a risk on its own. The goal of this study is to analyze the risk of gold investment by applying the EVT to historical daily data for extreme daily losses and gains in the price of gold. We used daily gold prices in the Pakistan Bullion Market from August 1, 2011 to July 30, 2021. This paper covers two methods such as Block Maxima (BM) and Peak Over Threshold (POT) modeling. The risk measures which are adopted in this paper are Value at Risk (VaR) and Expected Shortfall (ES). The point and interval estimates of VaR and ES are obtained by fitting the Generalized Pareto (GPA) distribution. Moreover, in this paper, return-level forecasting is also included for the next 5 and 10 years by analyzing the Generalized Extreme Value (GEV) distribution.

Coherent Risk Measures

2014 ◽  
pp. 115-142
Keyword(s):  
At Risk ◽  
Extreme Value Theory ◽  
Risk Measures ◽  
Risk Measure ◽  
Value Theory ◽  
Extreme Value ◽  
Expected Shortfall ◽  
Coherent Risk Measures ◽  
Coherent Risk ◽  
Distortion Risk Measure

This chapter introduces some alternative risk measures to Vale-At-Risk (VaR) calculations: Extreme Value Theory (EVT), Expected Shortfall (ES) and distortion risk measure. It also discusses their more coherent characteristics useful for shoring up the weaknesses of VaR.

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