Extreme Risk and Value-at-Risk in the German Stock Market
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 d...
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| Veröffentlicht in: | The European journal of finance 2007-06, Vol.13 (4), p.373-395 |
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| container_title | The European journal of finance |
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| creator | Tolikas, Konstantinos Koulakiotis, Athanasios Brown, Richard A. |
| description | 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. |
| doi_str_mv | 10.1080/13518470600763737 |
| format | Article |
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| ispartof | The European journal of finance, 2007-06, Vol.13 (4), p.373-395 |
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| subjects | Anderson-Darling goodness of fit test Distribution Extreme value theory Financial analysis Financial research Financial risks generalized extreme value distribution generalized logistic distribution Germany L-moments Parameter estimation probability weighted moments Risk Securities markets Statistical analysis Stock exchange Studies value-at-risk Variance analysis |
| title | Extreme Risk and Value-at-Risk in the German Stock Market |
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