Estimating value-at-risk: a point process approach
Authors:
V. Chavez-Demoulin a;
A. C. Davison b;
A. J. McNeil a
| Affiliations: | a Department of Mathematics, ETH-Zentrum, Z rich, Switzerland |
b Institute of Mathematics, Ecole Polytechnique F d rale de Lausanne, Lausanne, Switzerland |
DOI:
10.1080/14697680500039613
Publication Frequency:
8 issues per year
Number of References: 25
Formats available:
HTML
(English)
:
PDF
(English)
View Article:
View Article (PDF)
View Article (HTML)
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.
|
| view references (25) : view citations |

Download Citation

rich, Switzerland
d
CiteULike
Del.icio.us
BibSonomy
Connotea