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Multivariate extremes at work for portfolio risk measurement

By Eric Bouyé

Abstract

This paper proposes a methodology to provide risk measures for portfolios during extreme\ud events. The approach is based on splitting the multivariate extreme value distribution of the assets\ud of the portfolio into two parts: the distributions of each asset and their dependence function. The\ud estimation problem is also investigated. Then, stress-testing is applied for market indices portfolios\ud and Monte-Carlo based risk measures — Value-at-Risk and Expected Shortfall — are provided

Topics: HB, QA
Publisher: Warwick Business School Financial Econometrics Research Centre
Year: 2002
OAI identifier: oai:wrap.warwick.ac.uk:1825

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