Extreme Value at Risk and Expected Shortfall during Financial Crisis

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Date

2011

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Type de document
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Identifiants
Source

HAL SHS (Sciences de l’Homme et de la Société)

Collection

Archives ouvertes

Organisation

Centre pour la communication scientifique directe

Licence

info:eu-repo/semantics/OpenAccess

Mots-clés En

Market risk Value at Risk EVT GARCH Financial crisis Basel requirements

Sujets proches En

Standard of value Pattern Model

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L. Kourouma et al., « Extreme Value at Risk and Expected Shortfall during Financial Crisis », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.ab9938...

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Résumé En

This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the conditional models. This underestimation is stronger using the historical VaR approach than when using the extreme values theory VaR model. Even in 2008 financial crisis, the conditional EVT model is more accurate and reliable for predicting the asset risk losses. Banks have no interest in using it because the Basel II agreement penalizes banks using accuracy models like the conditional EVT model, and this is the case for the assets being studied in this paper.

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