- 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
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License (CC BY-NC 4.0).