Measurement of extreme market risk: Insights from a comprehensive literature review

The experience of past financial market turmoil suggests that in addition to eroding investor wealth, the severe consequences of rare extreme market events can spillover and impair the broader real economies. In this context, this paper is an evaluation of the methodological and empirical advances i...

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Bibliographic Details

Published in:	Cogent Economics & Finance
Main Authors:	Gourab Chakraborty, G. R. Chandrashekhar, G. Balasubramanian
Format:	Article
Language:	English
Published:	Taylor & Francis Group 2021-01-01
Subjects:	expected shortfall extreme market risk extreme value theory measurement value at risk estimation methodologies
Online Access:	http://dx.doi.org/10.1080/23322039.2021.1920150