Estimation of Value-at-risk by Extreme Value Methods

Student: Bouyukliiski Ivan

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2019

Value-at-Risk (VaR) is the most common measure of market risk. Traditional methods, used for Value-at-Risk estimation, have a number of serious drawbacks, since they do not fully take into account the peculiarities of the tails of distributions. Moreover, traditional approaches are based on certain assumptions about the data, which are sometimes not fulfilled. On the other hand, extreme value theory was created in order to describe more accurately the tails of distribution characteristics of real data. The goal of this work is to be a detailed study of the existing Value-at-Risk assessment measures, a description of the methods of extreme value theory and development of a Value-at-Risk assessment measure based on extreme value theory.

Full text (added May 10, 2019)

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