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All Journal Jurnal Daya Matematis
Sri Muslihah Bakhtiar
Department Mathematics, FMIPA Universitas Hasanuddin
Mathematics

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An Empirical Study for Comparison of Estimation Methods for Value at Risk, Tail Value at Risk, and Adjusted Tail Value at Risk Using Extreme Value Theory Approach to Stock Market Index Sri Muslihah Bakhtiar; Amran Amran; Khaeruddin Khaeruddin
Daya Matematis: Jurnal Inovasi Pendidikan Matematika Vol 10, No 2 (2022): Juli
Publisher : Universitas Negeri Makassar

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26858/jdm.v10i2.35702

Abstract

Risk management helps the financial industry to manage and estimate the risks that may occur by using risk measures. Financial series data mostly have a heavy tail distribution which causes the probability of extreme values to occur. To overcome these extreme values, it is necessary to apply a mathematical model in calculating risk estimates in financial data combined with the Extreme Value Theory approach. The Adjusted-TVaR model is a measure of the risk of modification of the TVaR model to eliminate outliers in the tail of the distribution. The purpose of this study is to measure the accuracy of the Value at Risk, Tail Value at Risk, and Adjusted Tail Value at Risk using the Peak Over Thresholdapproach in Extreme Value Theory Models.The results of the risk estimation research using the POT approach method, show that the higher the level of confidence and the chosen constant, the higher the value of Adj-TVaR presented. This value represents that the potential loss will be higher. The estimation results obtained that the VaR value is smaller than Adj-TVaR and Adj-TVaR is smaller than TVaR. This shows that Adj-TVaR is more efficient to use in terms of predicting risk value when compared to TVaR with the Peak Over Threshold approach
Co-Authors Amran Amran Khaeruddin Khaeruddin