Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

Extreme Risk and Value-at-Risk in the German Stock Market

Tolikas, Konstantinos, Koulakiotis, Athanasios and Brown, Richard A. 2007. Extreme Risk and Value-at-Risk in the German Stock Market. The European Journal of Finance 13 (4) , pp. 373-395. 10.1080/13518470600763737

Full text not available from this repository.

Abstract

Extreme Value Theory methods are used to investigate the distribution of the extreme minima in the German stock market over the period 1973 to 2001. Innovative aspects of this paper include (i) a wide set of distributions considered, (ii) L-moment diagrams employed to identify the most appropriate distribution/s, (iii) 'probability weighted moments' used to estimate the parameters of these distribution/s and (iv) the Anderson-Darling goodness of fit test employed to test the adequacy of fit. The 'generalized logistic' distribution is found to provide adequate descriptions of the extreme minima of the German stock market over the period studied. VaR analysis results show that the EVT methods used in this study can be particularly useful for market risk measurement since they produce estimates that outperform those derived by traditional methods at high confidence levels.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Uncontrolled Keywords: Extreme value theory; value-at-risk; L-moments; probability weighted moments; Anderson–Darling goodness of fit test; generalized extreme value distribution; generalized logistic distribution
Publisher: Taylor and Francis
ISSN: 1351-847X
Last Modified: 12 Oct 2017 03:21
URI: http://orca.cf.ac.uk/id/eprint/38193

Citation Data

Cited 28 times in Google Scholar. View in Google Scholar

Cited 11 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item Edit Item