Estimating value-at-risk: A point process approach

V. Chavez-Demoulin*, A. C. Davison, A. J. Mcneil

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


We consider the modelling of extreme returns in financial time series, and introduce a marked point process model for the exceedances of a high threshold. This model has a self-exciting, Hawkes-process structure in which recent events affect the current intensity of threshold exceedances more than distant ones. Estimates of value-at-risk are derived for real datasets and the success of the estimation method is evaluated in backtests.

Original languageEnglish
Pages (from-to)227-234
Number of pages8
JournalQuantitative Finance
Issue number2
Publication statusPublished - Apr 2005

Cite this