Alternatives to Extreme Value: Lévy Spectral Risk Measures applied to leading stock indices
Speaker:
Sharif Ullah Mozumdar, PhD
Department of Mathematics, University Of Dhaka, Bangladesh
Date/Time:
Monday, February 25, 2013, 3:30pm
Venue:
ISRT Seminar Room
ABSTRACT
We investigate Lévy spectral risk measures as coherent alternatives to Generalized Pareto spectral risk measures. In particular this paper conducts an empirical study on conditional distributions belonging to Generalized Hyperbolic family of Lévy processes and compares their risk-management features with traditional unconditional extreme value approach. For frequently used VaR measure, backtesting performance of conditional and unconditional approaches is investigated. The idea is to figure out whether there is any particular model which provides minimum violation of VaR for all indices.
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Mailing Address
Director,
Institute of Statistical Research and Training (ISRT)
University of Dhaka
Dhaka 1000, Bangladesh