Template-type: ReDIF-Paper 1.0
Author-Name: Sonia Benito Muela
Author-Workplace-Name: Department of Economic Analysis Faculty of Economics and Business Administration National Distance Education University (UNED).
Author-Name: Carmen López-Martín
Author-Workplace-Name: Department of Business and Accounting Faculty of Economics and Business Administration National Distance Education University (UNED).
Author-Name: Mª Ángeles Navarro
Author-Workplace-Name: PhD. Student of the Faculty of Economics and Business Administration National Distance Education University (UNED).
Title: Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)
Abstract: The conditional extreme value theory has been proven to be one of the most successful in estimating market risk. The implementation of this method in 
	the framework of the Peaks Over Threshold (POT) model requires one to choose a threshold for fitting the generalized Pareto distribution (GPD). In this 
	paper, we investigate whether the selection of the threshold is important for the quantification of market risk. For measuring risk, we use the value 
	at risk (VaR) measure and the expected shortfall (ES) measure. The study has been done for a large set of assets. The results obtained indicate that 
	the quantification of the market risk through the VaR and ES measures does not depend on the threshold selected. This result is also found in a smaller 
	sample.
Classification-JEL: G19, G29.
Keywords: Extreme Value Theory; Peaks over Threshold; Value at Risk; Expected Shortfall; Generalized Pareto Distribution.
Length: 29 pages 
Creation-Date: 2018-09
Number: 2018-20
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1820.txt
File-URL: https://eprints.ucm.es/id/eprint/49146/1/1820.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1820