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Wafa Snoussi and Mhamed ali El-aroui
 
''Impact of Returns Time Dependency on the Estimation of Extreme Market Risk''
( 2011, Vol. 31 No.4 )
 
 
The estimation of Value-at-Risk generally used models assuming independence. However, financial returns tend to occur in clusters with time dependency. In this paper we study the impact of negligence of returns dependency in market risk assessment. The main methods which take into account returns dependency to assess market risk are: Declustering, Extremal index and Time series-Extreme Value The- ory combination. Results shows an important reduction of the estimation error under dependency assumption. For real data, methods which take into account returns dependency have generally the best performances.
 
 
Keywords: Value-at-Risk, Market risk, Dependency, Declustering, Extremal index, Time Series-EVT Combination.
JEL: G1 - General Financial Markets: General (includes Measurement and Data)
C1 - Econometric and Statistical Methods: General
 
Manuscript Received : Nov 12 2010 Manuscript Accepted : Dec 09 2011

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