A Comparison of the extreme value theory and Garch models in terms of risk measures

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<dc:creator>Nevruz, Ezgi</dc:creator>
<dc:creator>Sahin, Sule</dc:creator>
<dc:date>2018-11-30</dc:date>
<dc:description xml:lang="es">Sumario: In this paper, we apply extreme value theory (EVT) and time series models to eight developed and emerging stock markets published in the Morgan Stanley Capital International (MSCI) Index. Based on the Human Development Index (HDI) rankings, which are consistent with the MSCI index, we analyse Singapore, Spain, UK and US for developed stock markets and Chile, Russia, Malaysia and Turkey for emerging stock markets. We use the daily prices (in USD) of eight countries for the period from January 2014 to December 2017 and examine the performances of the models based on in-sample testing. Calculating the value-at-risk (VaR) as a risk measure for both right and left tails of the log-returns of the selected models, we compare these countries in terms of their financial risks. The obtained risk measures enable us to discuss the grouping and the ranking of the stock markets and their relative positions</dc:description>
<dc:format xml:lang="en">application/pdf</dc:format>
<dc:format xml:lang="en">image/jpeg</dc:format>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/166561.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:subject xml:lang="es">Riesgo financiero</dc:subject>
<dc:subject xml:lang="es">Mercados emergentes</dc:subject>
<dc:subject xml:lang="es">Ranking</dc:subject>
<dc:subject xml:lang="es">Métodos de medición</dc:subject>
<dc:subject xml:lang="es">Teoría del valor extremo</dc:subject>
<dc:subject xml:lang="es">Singapur</dc:subject>
<dc:subject xml:lang="es">España</dc:subject>
<dc:subject xml:lang="es">Reino Unido</dc:subject>
<dc:subject xml:lang="es">Estados Unidos</dc:subject>
<dc:subject xml:lang="es">Chile</dc:subject>
<dc:subject xml:lang="es">Rusia</dc:subject>
<dc:subject xml:lang="es">Malasia</dc:subject>
<dc:subject xml:lang="es">Turquía</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">A Comparison of the extreme value theory and Garch models in terms of risk measures</dc:title>
<dc:relation xml:lang="es">En: Anales del Instituto de Actuarios Españoles : Colegio Profesional. - Madrid : Instituto de Actuarios Españoles, 1943-. - 30/11/2018 Número 24 -  Epoca 4ª, Año 2018 , p. 149-170</dc:relation>
<dc:coverage xml:lang="es">Singapur</dc:coverage>
<dc:coverage xml:lang="es">España</dc:coverage>
<dc:coverage xml:lang="es">Reino Unido</dc:coverage>
<dc:coverage xml:lang="es">Estados Unidos</dc:coverage>
<dc:coverage xml:lang="es">Chile</dc:coverage>
<dc:coverage xml:lang="es">Rusia</dc:coverage>
<dc:coverage xml:lang="es">Malasia</dc:coverage>
<dc:coverage xml:lang="es">Turquía</dc:coverage>
</rdf:Description>
</rdf:RDF>