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Estimation of tail‐related risk measures in the Indian stock market: An extreme value approach
Author(s) -
Karmakar Madhusudan
Publication year - 2013
Publication title -
review of financial economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 41
eISSN - 1873-5924
pISSN - 1058-3300
DOI - 10.1016/j.rfe.2013.05.001
Subject(s) - econometrics , extreme value theory , expected shortfall , value at risk , quantile , economics , tail risk , percentile , stock market , stock (firearms) , coherent risk measure , statistics , mathematics , financial economics , risk management , geography , portfolio , context (archaeology) , management , archaeology
The purpose of the study is to estimate tail‐related risk measures using extreme value theory (EVT) in the Indian stock market. The study employs a two stage approach of conditional EVT originally proposed by McNeil and Frey (2000) to estimate dynamic Value at Risk (VaR) and expected shortfall (ES). The dynamic risk measures have been estimated for different percentiles for negative and positive returns. The estimates of risk measures computed under different quantile levels exhibit strong stability across a range of the selected thresholds, implying the accuracy and reliability of the estimated quantile based risk measures.