<abstract xmlns="http://www.w3.org/1999/xhtml"><p>In this paper, the CAViaR model was used to measure the HS300, HSI and N225 risk levels and result showed that CAViaR model was able to measure the sample risk value at the 5% confidence level. However, at the 1% confidence level, the CAViaR model severely underestimated the sample risk value. In order to solve this question, this paper introduces the POT model and CAViaR model to construct the extreme risk measure model based on POT-CAViaR model and the test shows that the improved model can effectively improve the accuracy of extreme risk prediction and the model validity is strengthened.</p></abstract>

In this paper, the CAViaR model was used to measure the HS300, HSI and N225 risk levels and result showed that CAViaR model was able to measure the sample risk value at the 5% confidence level. However, at the 1% confidence level, the CAViaR model severely underestimated the sample risk value. In order to solve this question, this paper introduces the POT model and CAViaR model to construct the extreme risk measure model based on POT-CAViaR model and the test shows that the improved model can effectively improve the accuracy of extreme risk prediction and the model validity is strengthened.

A Research Based On POT-CAViaR Model of Extreme Risk Measure

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"A Research Based On POT-CAViaR Model of Extreme Risk Measure"}

In this paper, the CAViaR model was used to measure the HS300, HSI and N225 risk levels and result showed that CAViaR model was able to measure the sample risk...

A Research Based On POT-CAViaR Model of Extreme Risk Measure

Published Online: Aug 20, 2020

Page range: 461 - 472

Received: Nov 25, 2019

Accepted: Feb 01, 2020

DOI: https://doi.org/10.2478/amns.2020.2.00040

Keywords
CAViaR Model, POT Model, Extreme Risk

© 2020 Baoshuai Zhang et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

A Research Based On POT-CAViaR Model of Extreme Risk Measure

Published Online: Aug 20, 2020

Page range: 461 - 472

Received: Nov 25, 2019

Accepted: Feb 01, 2020

DOI: https://doi.org/10.2478/amns.2020.2.00040

KeywordsCAViaR Model, POT Model, Extreme Risk

© 2020 Baoshuai Zhang et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Keywords
CAViaR Model, POT Model, Extreme Risk