Modeling Redemption Risks of Mutual Funds Using Extreme Value Theory

IF 0.3 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Pub Date : 2016-07-25 DOI:10.21314/JOR.2016.336

Sascha Desmettre, M. Deege

引用次数: 5

Abstract

We show how redemption risks of mutual funds can be modeled using the peaks-over-threshold approach from extreme value theory. The resulting risk measure liquidity-at-risk is adapted to cover issues arising when fund redemption data from the real world is used, and we give guidelines for what should be considered in practice. We also provide an automated and easily applicable procedure for determining the threshold parameter of a generalized Pareto distribution by means of a given data set. Moreover, we supplement our findings with a thorough backtesting analysis.

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用极值理论建模共同基金赎回风险

我们展示了如何使用极值理论的峰值超过阈值方法来建模共同基金的赎回风险。由此产生的风险度量“风险流动性”适用于使用现实世界的基金赎回数据时出现的问题，我们给出了在实践中应该考虑的指导方针。我们还提供了一个自动化和易于应用的程序来确定广义帕累托分布的阈值参数。此外，我们用彻底的回溯测试分析来补充我们的发现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

14.30%

发文量

期刊介绍： This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.