Journal of Siberian Federal University. Engineering & Technologies / Extreme Value Theory and Peaks Over Threshold Model in the Russian Stock Market

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Issue
Journal of Siberian Federal University. Engineering & Technologies. 2012 5 (1)
Authors
Andreev, Vladimir O.; Tinykov, Sergey E.; Ovchinnikova, Oksana P.; Parahin, Gennady P.
Contact information
Andreev, Vladimir O. : Oryol Regional Academy of State Service , 5a Pobedy st., Oryol, 302028 Russia , e-mail: ; Tinykov, Sergey E. : Branch of Siberian Federal University, Zheleznogorsk , 12a Kirov st., Zheleznogorsk, Russia; Ovchinnikova, Oksana P. : Oryol Regional Academy of State Service , 5a Pobedy st., Oryol, 302028 Russia; Parahin, Gennady P. : TelekomStroyService, Ltd , 61 Tsarev Brod st., Zarechensky, 302528 Russia
Keywords
Extreme Value Theory; General Pareto Distribution; Peaks over Threshold; Tail Distribution; Value at Risk
Abstract

Traditional research methods adopts normal distributions as a pattern of the stock market behavior. This paper utilized POT model of extreme value theory, and GPD distribution which can give more accurate description on tail distribution of financial returns/losses. EVT and POT techniques are applied to a series of daily losses of the RTS index (RTSI) over a 15-year period (1995-2009), RTSI is total index of 50 largest Russian stocks. The focus is on the use of proposed methods to asses tail related risk providing a modeling tool for modern risk management.

Pages
111-121
Paper at repository of SibFU
https://elib.sfu-kras.ru/handle/2311/2884

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