FindTheTail - Extreme Value Theory

FindTheTail automatically determines the optimal threshold for the tail of an unknown parent distribution.
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Updated Mon, 27 Jun 2022 10:32:11 +0000

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).

Cite As

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

MATLAB Release Compatibility
Created with R2022a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
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

To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.