Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-risk

• Autor(a) principal: Maruhashi, Jin
• Data de Publicação: 2017
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/26130
• topic: Hill statistic; Rank-size statistic; Value-at-risk; Tail index estimation; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

This study peruses the leptokurtic evolution of regional banking indices belonging to the Americas, Asia, Australasia and Europe from 1973-2016 as measured by the tail index in order to assess the impact of tail index variation on VaR. Breaks in are detected under the testing framework proposed by Quintos et al. (2001) combined with both the originally suggested Hill estimator and, as an innovation, the newly proposed rank-size statistic. It was concluded that changes in led to material differences in VaR and the new test statistic showed superior statistical power over the Hill statistic.