Question
Briefly explain what is the EVT approach to calculate VaR. 2. For a given portfolio
Briefly explain what is the EVT approach to calculate VaR.
2. For a given portfolio we use 482 price changes of an asset to fit the EV distribution above. Suppose that there are 36 scenarios in which the loss is greater than £184. The fitted parameters of the above distribution are β = 34.53 and ξ = 0.38. What is the 1-day VaR with a 97% confidence limit? What is the corresponding value of the Expected Shortfall?
![GE,B(y) = 1- y [+5] 1 + B 1](https://dsd5zvtm8ll6.cloudfront.net/si.experts.images/questions/2023/04/64314ff275e44_1680953330013.jpg)
G,B(y) = 1- y [+5] 1 + B 1
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The EVT approach or Extreme Value Theory approach is a method used to estimate the risk of extreme losses by modeling the tail of the loss distributio...
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International Economics
Authors: Robert C. Feenstra, Alan M. Taylor
3rd edition
978-1429278515, 142927851X, 978-1319029517, 1319029515, 978-1429278447
