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Modelling extreme events: Application to Zagreb stock exchange (CROSBI ID 551903)

Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija

Žiković, Saša ; Pečarić, Mario Modelling extreme events: Application to Zagreb stock exchange. 2009

Podaci o odgovornosti

Žiković, Saša ; Pečarić, Mario

engleski

Modelling extreme events: Application to Zagreb stock exchange

In the paper we analyse the performance of Value at Risk (VaR) models at extreme quantiles: 0.99, 0.995 and 0.999 for both long and short positions in Croatian, Zagreb stock exchange index - CROBEX. Backtesting shows that none of the usually employed VaR models correctly forecasts the risk during the ongoing global financial crisis. The only exceptions are the extreme value based models which correctly forecast the true level of upside and downside risk. We also investigate the closeness of fit of theoretical distributions to the extreme tails of CROBEX returns. Results show that generalised Pareto distribution, which has a sound theoretical foundation, provides the best fit to both tails of CROBEX returns. We find that distribution tails differ significantly, with the right tail having a higher tail index, indicative of more extreme events.

Extreme value theory; Generalised Pareto distribution; Value at Risk; Emerging markets; Zagreb stock exchange

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Podaci o prilogu

2009.

nije evidentirano

objavljeno

Podaci o matičnoj publikaciji

Podaci o skupu

Eighth International Conference on “ Challenges of Europe”

predavanje

21.05.2009-24.05.2009

Split, Hrvatska

Povezanost rada

Ekonomija