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An application of extreme value theory in estimating liquidity risk

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dc.contributor.authorBenito Muela, Sonia
dc.contributor.authorLópez Martín, Carmen
dc.contributor.authorArguedas Sanz, Raquel
dc.date.accessioned2024-05-20T11:23:53Z
dc.date.available2024-05-20T11:23:53Z
dc.date.issued2017-12
dc.description.abstractThe 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.en
dc.description.versionversión publicada
dc.identifier.doi10.1016/j.iedeen.2017.05.001
dc.identifier.issn2444-8842
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11890
dc.journal.issue3
dc.journal.titleEuropean Research on Management and Business Economics
dc.journal.volume23
dc.language.isoen
dc.publisherElsevier
dc.relation.centerFacultades y escuelas::Facultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsAtribución-NoComercial-SinDerivadas 4.0 Internacional
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0
dc.subject.keywordsValue-at-risk
dc.subject.keywordsLiquidity risk
dc.subject.keywordsExtreme value theory
dc.subject.keywordsBasel capital accord
dc.titleAn application of extreme value theory in estimating liquidity riskes
dc.typeartículoes
dc.typejournal articleen
dspace.entity.typePublication
person.familyNameBenito Muela
person.familyNameLópez Martín
person.familyNameArguedas Sanz
person.givenNameSonia
person.givenNameCarmen
person.givenNameRaquel
person.identifier.orcid0000-0001-9409-0868
person.identifier.orcid0000-0001-7368-6347
relation.isAuthorOfPublication01b4ab6d-1510-434b-b108-29b4cc8746f0
relation.isAuthorOfPublicationc97e2d29-4ce5-49e3-b864-9810ead93be6
relation.isAuthorOfPublication5caf1cb0-3213-4235-ae2e-9dfe4bea1889
relation.isAuthorOfPublication.latestForDiscovery01b4ab6d-1510-434b-b108-29b4cc8746f0
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