An application of extreme value theory in estimating liquidity risk

Benito Muela, Sonia, López Martín, Carmen y Arguedas-Sanz, Raquel . (2017) An application of extreme value theory in estimating liquidity risk. European Research on Management and Business Economics

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Título An application of extreme value theory in estimating liquidity risk
Autor(es) Benito Muela, Sonia
López Martín, Carmen
Arguedas-Sanz, Raquel
Materia(s) Economía
Abstract The last global financial crisis (2007–2008) has highlighted the weaknesses of value at risk (VaR) as a measure of market risk, as this metric by itself does not take liquidity risk into account. To address this problem, the academic literature has proposed incorporating liquidity risk into estimations of market risk by adding the VaR of the spread to the risk price. The parametric model is the standard approach used to estimate liquidity risk. As this approach does not generate reliable VaR estimates, we propose estimating liquidity risk using more sophisticated models based on extreme value theory (EVT). We find that the approach based on conditional extreme value theory outperforms the standard approach in terms of accurate VaR estimates and the market risk capital requirements of the Basel Capital Accord.
Palabras clave Value-at-risk
Liquidity risk
Extreme value theory
Basel capital accord
Editor(es) Elsevier
Fecha 2017-12
Identificador bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0014
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0014
DOI - identifier 10.1016/j.iedeen.2017.05.001
ISSN - identifier 2444-8842
Nombre de la revista European Research on Management and Business Economics
Número de Volumen 23
Número de Issue 3
Página inicial 157
Página final 164
Publicado en la Revista European Research on Management and Business Economics
Idioma eng
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The registered version of this article, first published in European Research on Management and Business Economics, is available online at the publisher's website: Elsevier https://doi.org/10.1016/j.iedeen.2017.05.001
Notas adicionales La versión registrada de este artículo, publicado por primera vez en European Research on Management and Business Economics, está disponible en línea en el sitio web del editor: Elsevier https://doi.org/10.1016/j.iedeen.2017.05.001

 
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Creado: Thu, 01 Feb 2024, 03:10:05 CET