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Portfolio Tail Risk: A Multivariate Extreme Value Theory Approach
This paper develops a method for assessing portfolio tail risk based on extreme value theory. The technique applies separate estimations of univariate series and allows for closed-form expressions for Value at Risk and Expected Shortfall. Its forecasting ability is tested on a portfolio of U.S. stoc...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2020
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7767159/ https://www.ncbi.nlm.nih.gov/pubmed/33348820 http://dx.doi.org/10.3390/e22121425 |