Extreme tails behavior in Asian currency markets

Autor:	Sumaira Zia, Arshad Hassan, Ayesha Zia
Jazyk:	angličtina
Rok vydání:	2021
Předmět:	value-at-risk (var) extreme value theory (evt) generalizedpareto distribution (gpd) back testing risk forecasting Business HF5001-6182 Economic theory. Demography HB1-3840
Zdroj:	Business Review, Vol 15, Iss 2, Pp 101-115 (2021)
Druh dokumentu:	article
ISSN:	1990-6587 2788-9599
DOI:	10.54784/1990-6587.1063
Popis:	This study examines extreme tail behavior in Asian currency markets for the period of 2005-2018. Value-at-Risk (VaR) is estimated through Extreme Value Theory (EVT) approach to forecast losses incurred in a day in Asian currencies. Initially EVT approach is used to estimate extreme losses on the left tail of the distribution. Then, the VaR estimation of this approach is back tested through traditional and advance back testing methods to ascertain the accuracy of the models used. Results indicate that the estimation of GPD static model is relevant for extreme risk forecasting in EVT approach at both 95% and 99% confidence intervals. The used method is recommended for use by market players.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/3da1d8ee669b4fd7a86651d54a5a0624 Zobrazit plný text záznamu View record in DOAJ