Estimating of value at risk and expected shortfall by using conditional extreme value approach in Tehran Securities Exchange
This paper investigates the relative performance of Value-at-Risk (VaR) and expected shortfall (ES) models using daily overall index data from TSE for a period of 8 years from 2008 to 2016. The main emphasis of the study has been given to Conditional Extreme Value Theory (CEVT) and to evaluate how w...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2016-11-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_62450_65927f32b939c0cb200e3cfe0c59c772.pdf |