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| HAL : halshs-00425585, version 1 |
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| High Watermarks of Market Risks |
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| Bertrand Maillet 1, 2, 3Jean-Philippe Médecin 1 |
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| (08/2009) |
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| We present several estimates of measures of risk amongst the most well-known, using both high and low frequency data. The aim of the article is to show which lower frequency measures can be an acceptable substitute to the high precision measures, when transaction data is unavailable for a long history. We also study the distribution of the volatility, focusing more precisely on the slopee of the tail of the various risk measure distributions, in order to define the high watermarks of market risks. Based on estimates of the tail index of a Generalized Extreme Value density backed-out from the high frequency CAC 40 series in the period 1997-2006, using both Maximum Likelihood and L-moment Methods, we, finally find no evidence for the need of a specification with heavier tails than in the case of the traditional log-normal hypothesis. |
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| 1 : | Centre d'économie de la Sorbonne (CES) |
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CNRS : UMR8174 – Université Paris I - Panthéon-Sorbonne |
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| 2 : | A.A.Advisors-QCG |
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ABN AMRO |
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| 3 : | EIF |
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Europlace Institute of Finance |
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| 4 : | LODH |
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Banque |
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| Discipline | : | Sciences de l'Homme et Société/Economies et finances Sciences de l'Homme et Société/Méthodes et statistiques Mathématiques/Statistiques Statistiques/Théorie Économie et finance quantitative/Econométrie de la finance |
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| Financial crisis – volatility estimators distributions – range-based volatility – extreme value – high frequency data. |
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| Liste des fichiers attachés à ce document : | |||||
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| halshs-00425585, version 1 | |
| http://halshs.archives-ouvertes.fr/halshs-00425585 | |
| oai:halshs.archives-ouvertes.fr:halshs-00425585 | |
| Contributeur : Lucie Label | |
| Soumis le : Jeudi 22 Octobre 2009, 12:48:58 | |
| Dernière modification le : Vendredi 23 Octobre 2009, 10:57:35 | |
