A conditional Extreme Value Theory (GARCH-EVT) approach is a two-stage hybrid method
that combines a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) filter …

The recent global pandemic of coronavirus (COVID-19) has had an enormous impact on the
financial markets across the world. It has created an unprecedented level of risk uncertainty …

This paper attempted to calculate the market risk in the Tehran Stock Exchange by
estimating the Conditional Value at Risk. Since the Conditional Value at Risk is a tail-related …

Orientation: Research purpose: The main aim of the study was to apply extreme value theory
results to quantify the extreme downside risk and upside risk of the South African Financial …

In this paper, we propose an extreme conditional quantile estimator. Derivation of the
estimator is based on extreme quantile autoregression. A noncrossing restriction is added …

Backtesting the evaluation of Value-at-Risk methods for exchange rates | Emerald Insight Books
and journals Case studies Expert Briefings Open Access Publish with us Advanced search …

The Philippines has a growing startup scene in Southeast Asia and is currently the prime
target of many investors like Tencent Holdings, Voyager's Innovation, and more. Despite this …

The appropriate choice of a threshold level, which separates the tails of the probability
distribution of a random variable from its middle part, is considered to be a very complex and …

Abstract This study uses Extreme Value Theory (EVT), Value-at-Risk (VaR) and Expected
Shortfall (ES) analysis as a unified tool for managing extreme financial risk. The study …

There exists a well-developed statistical theory predicting extreme price values for financial
markets known as extreme value theory (EVT). This approach relies on the seemingly …