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Tail index estimation: a study on the evolution of heavy tails of regional bank indices and its impact on value-at-risk
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| 12.8 MB | Adobe PDF |
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This study peruses the leptokurtic evolution of regional banking indices belonging to the Americas, Asia, Australasia and Europe from 1973-2016 as measured by the tail index 𝜁 in order to assess the impact of tail index variation on VaR. Breaks in 𝜁 are detected under the testing framework proposed by Quintos et al. (2001) combined with both the originally suggested Hill estimator and, as an innovation, the newly proposed rank-size statistic. It was concluded that changes in 𝜁 led to material differences in VaR and the new test statistic showed superior statistical power over the Hill statistic.
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Hill statistic Rank-size statistic Value-at-risk Tail index estimation