o:28253 Portfolio tail risk a multivariate extreme value theory approach en Abstract: This paper develops a method for assessing portfolio tail risk based on extreme value theory. The technique applies separate estimations of univariate series and allows for closed-form expressions for Value at Risk and Expected Shortfall. Its forecasting ability is tested on a portfolio of U.S. stocks. The in-sample goodness-of-fit tests indicate that the proposed approach is better suited for portfolio risk modeling under extreme market movements than comparable multivariate parametric methods. Backtesting across multiple quantiles demonstrates that the model cannot be rejected at any reasonable level of significance, even when periods of stress are included. Numerical simulations corroborate the empirical results. Keywords: tail risk; extreme value theory; principal component analysis; value at risk; expected shortfall 1552099 10.3390/e22121425 1552101 1099-4300 2023-03-16T14:16:26.634Z 44 no 46 Miloš Božović Univerzitet u Beogradu Ekonomski fakultet 1544295 0000-0002-5087-1977 application/pdf 1291124 https://phaidrabg.bg.ac.rs/o:28253 no yes 16 70 92000001 11A03 Entropy 22 12 1425 2020