This paper provides an overview of the role of extreme value theory in risk management as a method for modelling and measuring extreme risks. In particular, it is shown the peaks-over-threshold (POT) model and how this method provides a tool for estimating measures of tail risk like Value-at-Risk (VaR) and expected shortfall. Further topics of interest, including State-Space model, Block Maxima, Markowitz model and a real data application, are also discussed.
Extreme Value Theory for Portfolio Risk Management
Ferretti, Nicola
2022/2023
Abstract
This paper provides an overview of the role of extreme value theory in risk management as a method for modelling and measuring extreme risks. In particular, it is shown the peaks-over-threshold (POT) model and how this method provides a tool for estimating measures of tail risk like Value-at-Risk (VaR) and expected shortfall. Further topics of interest, including State-Space model, Block Maxima, Markowitz model and a real data application, are also discussed.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14247/5078