| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2148 |
| DP2148 Consumption Insurance or Consumption Mobility | |
| Tullio Jappelli; Luigi Pistaferri | |
| 发表日期 | 1999-05-31 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | This article presents an application of extreme value theory to compute the value at risk of a market position. In statistics, extremes of a random process refer to the lowest observation (the minimum) and to the highest observation (the maximum) over a given time-period. Extreme value theory gives some interesting results about the distribution of extreme returns. In particular, the limiting distribution of extreme returns observed over a long time-period is largely independent of the distribution of returns itself. In financial markets, extreme price movements correspond to market corrections during ordinary periods, and also to stock market crashes, bond market collapses or foreign exchange crises during extraordinary periods. An approach based on extreme values to compute the VaR thus covers market conditions ranging from the usual environment considered by the existing VaR methods to the financial crises which are the focus of stress testing. Univariate extreme value theory is used to compute the VaR of a fully-aggregated position while multivariate extreme value theory is used to compute the VaR of a position decomposed on risk factors. |
| 主题 | Financial Economics |
| 关键词 | Aggregation of risks Capital requirements Extreme value theory Financial crises Financial regulation Measure of risk Risk management Stress testing Value at risk |
| URL | https://cepr.org/publications/dp2148 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531257 |
| 推荐引用方式 GB/T 7714 | Tullio Jappelli,Luigi Pistaferri. DP2148 Consumption Insurance or Consumption Mobility. 1999. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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