From value at risk to stress testing : The extreme value approach Franc ß ois

By F. Longin. 2000

537 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f1e7565343cc2b62be21af5a08bdbfb5e26a1080

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Citations in the corpus

Developing a stress testing framework based on market risk models (2008, background): “An obvious variation on the latter would be an application of the EVT (Extreme Value Theory – see Longin, 2000; Aragones et al., 2001; Longin, 2005).”
On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns (2006, background): “In order to bypass these problems, some authors (Longin, 2000 ; McNiel and Frey, 2000 ; Bali, 2003 , among many others) have proposed to estimate the extreme quantiles of the distributions in a semi-parametric way, which allows (i) to avoid the model errors and (ii) to limit the sampling errors w”
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements (2006, background): “over a long period of time (see Longin (2000) for a discussion).”
Is There an Intertemporal Relation between Downside Risk and Expected Returns? (2009, unknown): “Following Ghysels et al. (2005), we use various measures of the lagged realized variance as a proxy for Et(σ(2) t+1).”
Inference for clusters of extreme values (2003, background): “Estimation of the extremal index has been developed by Smith and Weissman (1994) and Weissman and Novak (1998) among others; for an application in finance see Longin (2000).”
Extreme Value Theory for Finance: A Survey (2012, methodology): “Longin (2000), estimating with data from the S&P 500 index, makes a comparison between EVT and four standard methods for calculating VaR, namely historical simulation, modelling with normal distribution, modelling with GARCH processes and the exponentially weighted moving average (EWMA) process for…”
Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check (2006, methodology): “it, Longin (1996, 2000) partitioned the sample into g non-overlapping subsamples each with m observations.”
Measuring Market Risk (2002, methodology): “This is the simplest approach and has been used by Longin (1996), McNeil (1998), and many others.”
Value-at-Risk and Extreme Returns (2000, unknown): “Hols and de Vries (1991) use extreme value analysis to measure risk in FOREX trading, and Longin (1997) applies extreme value analysis to risk in the U.”
Risk Measurement Performance of Alternative Distribution Functions (2008, background): “Longin (2000), McNeil and Frey (2000), and Bali (2003a) show that VaR measures based on the distribution of extreme returns, instead of the distribution of all returns, provide good predictions of catastrophic market risks during extraordinary periods.”
Varying the VaR for unconditional and conditional environments (2007, background): “Previous applications of extreme value theory in risk management (Pownall and Koedijk, 1999; Longin, 2000; and Danielsson and de Vries, 2000) present unconditional estimates for a single-period setting.”
Steps in Applying Extreme Value Theory to Finance: A Review (2000, background): “It can also be said to measure the mi anticipated loss over a period with a given probability and under exceptional market cond (Longuin 1999).”