Research

Quantitative Consulting has many interesting research publications. Some of them were completed for the company purposes and others were outcomes of the academic research of our employees. Some of the content is accessible only after registration of your email address, rest of the content is downloadable from this site.

We hope you will find what you are looking for!

Publications

filter by

order by

alphabet:
date:
Exchange market pressure: an evaluation using extreme value theory, Barbora Zuzáková, 2014

Exchange market pressure: an evaluation using extreme value theory, Barbora Zuzáková, 2014

Exchange market pressure, exchange rate regime, extreme value theory, Hill estimator

This thesis discusses the phenomenon of currency crises, in particular it is devoted to empirical identification of crisis periods. As a crisis indicator, we aim to utilize an exchange market pressure index which has been revealed as a very powerful tool for the exchange market pressure quantification. Since enumeration of the exchange market pressure index is crucial for further analysis, we pay special attention to different approaches of its construction. In the majority of existing literature on exchange market pressure models, a currency crisis is defined as a period of time when the exchange market pressure index exceeds a predetermined level. In contrast to this, we incorporate a probabilistic approach using the extreme value theory. Our goal is to prove that stochastic methods are more accurate, in other words they are more reliable instruments for crisis identification. We illustrate the application of the proposed method on a selected sample of four central European countries over the period 1993 - 2012, or 1993 - 2008 respectively, namely the Czech Republic, Hungary, Poland and Slovakia. The choice of the sample is motivated by the fact that these countries underwent transition reforms to market economies at the beginning of 1990s and therefore could have been exposed to speculative attacks on their newly arisen currencies.
These countries are often assumed to be relatively homogeneous group of countries at similar stage of the integration process. Thus, a resembling development of
exchange market pressure, particularly during the last third of the estimation period, would not be surprising.

17.01.2014

A Comparison of EVT and Standard VaR Estimations, Jiří Witzany, Jaroslav Baran, 2011

A Comparison of EVT and Standard VaR Estimations, Jiří Witzany, Jaroslav Baran, 2011

backtesting, expected shortfall, extreme value theory, GARCH estimations, Risk measures, Value-at-Risk

A Comparison of EVT and Standard VaR Estimations, University of Economics, Working Paper. In this paper, Extreme value theory (EVT) is applied in estimating low quantiles of P/L distribution and the results are compared to common VaR methodologies. The fundamental theory behind EVT is built, and peaks-over-threshold method is used for modeling the tail of the distribution of losses with Generalized Pareto Distribution (GPD). The different VaR methods are then compared using backtesting procedures. Practical issues such as time varying volatility of returns, and multivariate time series (portfolio of financial instruments) are covered.

23.02.2011

Analysis and Comparison of Different Value at Risk Models for Nonlinear Portfolio, Jaroslav Baran, 2009

Analysis and Comparison of Different Value at Risk Models for Nonlinear Portfolio, Jaroslav Baran, 2009

expected shortfall, extreme value theory, value at risk

Analysis and Comparison of Different Value at Risk Models for Nonlinear Portfolio. Diploma Thesis, MFF UK. The thesis describes Value-at-Risk (VaR) and Expected Shortfall (ES) models for measuring market risk. Parametric method, Monte Carlo simulation, and Historical simulation (HS) are presented. The second part of the thesis analyzes Extreme Value Theory (EVT). The fundamental theory behind EVT is built, and peaks-over-threshold (POT) method is introduced. The POT method is then used for modelling the tail of the distribution of losses with Generalized Pareto Distribution (GPD), and is simultaneously illustrated on VaR and ES calculations for PX Index. Practical issues such as multiple day horizon, conditional volatility of returns, and backtesting are also discussed. Subsequently, the application of parametric method, HS and EVT is demonstrated on a sample nonlinear portfolio designed in Mathematica and the results are discussed.

30.06.2009