Author(s)

Haixia Lu

Corresponding Author

Haixia Lu

Abstract

Accurate measurement of Value-at-Risk (VaR) and Expected Shortfall (ES) is a challenge for risk managers. Extreme value theory can accurately describe the quantile of the tail of the distribution. In this paper, the VaR and ES are calculated by Peaks over Threshold, and their error analysis is given. Then the Chinese SSE fund index is taken as an example to analyze and test the data, and the VaR and ES values and confidence intervals of the Shanghai Stock Index are given. Practice has proved that the extreme value method based on POT model can predict the risk of SSE fund index very well.

Keywords

Peaks over Threshold; Value－at－Risk; Expected Shortfall; Risk Analysis