FindTheTail - Extreme Value Theory

バージョン 1.1.1 (29.9 KB) 作成者: Pascal Bruhn
FindTheTail automatically determines the optimal threshold for the tail of an unknown parent distribution.
ダウンロード: 75
更新 2022/6/27

FindTheTail

FindTheTail - Extreme Value Theory - Matlab

FindTheTail automatically determines the optimal threshold for the tail of an unknown parent distribution. A distribution´s tail is modelled via a Generalized Pareto Distribution (GPD) to assess extreme negative tail risks. Risks are quantified by the Value at Risk and Expected Shortfall (cVaR) for different confidence levels.

The FindTheTail function and its documentation can be found in the Live Script.

View FindTheTail - Extreme Value Theory on File Exchange

Cite as: Pascal Bruhn (2022). FindTheTail - Extreme Value Theory (https://github.com/PascalBruhn/FindTheTail/releases/tag/v1.1.1), GitHub.

References:

  1. Hoffmann I, Börner CJ. Body and tail: An automated tail-detecting procedure. J Risk [Internet]. 2021; Available from: https://www.risk.net/journal-of-risk/7733836/body-and-tail-an-automated-tail-detecting-procedure
  2. Hoffmann I, Börner CJ. The risk function of the goodness-of-fit tests for tail models. Stat Pap. 2021 Aug;62(4):1853–69.
  3. Hoffmann I, Börner CJ. Tail models and the statistical limit of accuracy in risk assessment. J Risk Finance. 2020 Jun 27;21(3):201–16.

Practical examples:

  1. Börner, Christoph J. and Hoffmann, Ingo and Krettek, Jonas and Kuerzinger, Lars and Schmitz, Tim, On the Return Distributions of a Basket of Cryptocurrencies and Subsequent Implications (May 14, 2021). Available at SSRN: https://ssrn.com/abstract=3851563 or http://dx.doi.org/10.2139/ssrn.3851563

Contact:

Pascal Bruhn, pascal.bruhn@financial-research.de

Created in cooperation with Christoph J. Börner and Ingo Hoffmann (Heinrich Heine University Düsseldorf).

引用

Pascal Bruhn (2024). FindTheTail - Extreme Value Theory (https://github.com/PascalBruhn/FindTheTail/releases/tag/v1.1.1), GitHub. に取得済み.

MATLAB リリースの互換性
作成: R2022a
すべてのリリースと互換性あり
プラットフォームの互換性
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
バージョン 公開済み リリース ノート
1.1.1

See release notes for this release on GitHub: https://github.com/PascalBruhn/FindTheTail/releases/tag/v1.1.1

1.1.0

See release notes for this release on GitHub: https://github.com/PascalBruhn/FindTheTail/releases/tag/v1.1.0

1.0.0

この GitHub アドオンでの問題を表示または報告するには、GitHub リポジトリにアクセスしてください。
この GitHub アドオンでの問題を表示または報告するには、GitHub リポジトリにアクセスしてください。