Publicación: An application of extreme value theory in estimating liquidity risk
Fecha
2017-12
Autores
Benito Muela, Sonia
López Martín, Carmen
Arguedas Sanz, Raquel
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Derechos de acceso
info:eu-repo/semantics/openAccess
Título de la revista
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Editor
Elsevier
Resumen
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.
Descripción
Categorías UNESCO
Palabras clave
Value-at-risk, Liquidity risk, Extreme value theory, Basel capital accord
Citación
Centro
Facultad de Ciencias Económicas y Empresariales
Departamento
Economía de la Empresa y Contabilidad