EVT-based Measurement on Market Risks
Shen Xue-zhen · Commercial Research · 2006
Extreme Value theory(EVT) plays an important role in risk management as a major method of modeling and measuring market extreme risks.This paper estimates the tools of market risk measurewent,Value at Risk(VaR) and Expected Shortfall(ES),based on POT model.It concludes that risk is smaller in investing Shanghai stock market than Shenzhens surveying Chinese stock markets.