Extreme value analysis and risk assessment: a case of pakistan stock market

Author Affiliation

Muhammad Sheraz is Assistant Professor of Mathematical Sciences and Economics & Finance at Institute of Business Administration (IBA), Karachi

Faculty / School

School of Mathematics and Computer Science (SMCS)

Department

Department of Mathematical Sciences

Was this content written or created while at IBA?

Yes

Document Type

Article

Source Publication

Economic Computation and Economic Cybernetics Studies and Research

ISSN

0424-267X

Disciplines

Computer Sciences | Econometrics | Economics | Finance | Mathematics

Abstract

The aim of this paper consists in developing a univariate extreme value analysis, with applications to the Pakistan Stock Exchange (PSX-100). The main focus refers to assessing the risk and statistical properties regarding the tails of the fitted heavy-tails distributions. For this purpose, we implement generalized extreme value distribution (GEV) and generalized Pareto distribution (GPD) by following the block maxima approach, peak-over threshold (POT) method and Poisson processes to several declustered periods. PSX-100 has become the emerging and best performer financial market in the south-Asian region in the last decade. Therefore, statistical properties of extreme events of the stock market have significant importance for investors. We have also addressed the modelling of Value-at-Risk (VaR) and Expected-Shortfall (ES) risk measures, in the context of extreme value theory (EVT).

Indexing Information

HJRS - Y Category, Scopus, Web of Science - Science Citation Index Expanded (SCI), Web of Science - Social Sciences Citation Index (SSCI)

Journal Quality Ranking

Impact Factor: 0.743

Publication Status

Published

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