Journal of
Marketing Development and Competitiveness
Scholar Gateway
Abstracts prior to volume 5(1) have been archived!Issue 5(1), October 2010 -- Paper AbstractsGirard (p. 9-22)Cooper (p. 23-32)Kunz-Osborne (p. 33-41)Coulmas-Law (p.42-46)Stasio (p. 47-56)Albert-Valette-Florence (p.57-63)Zhang-Rauch (p. 64-70)Alam-Yasin (p. 71-78)Mattare-Monahan-Shah (p. 79-94)Nonis-Hudson-Hunt (p. 95-106) 
JOURNAL OF ACCOUNTING AND FINANCE
Measures of Extreme Loss Risk – An Assessment of Performance
During the Global Financial Crisis
Author(s): Jamshed Y. Uppal
Citation: Jamshed Y. Uppal, (2013) "Measures of Extreme Loss Risk – An Assessment of Performance
During the Global Financial Crisis," Journal of Accounting and Finance, Vol. 13, Iss. 3, pp. 105 - 117
Article Type: Research paper
Publisher: North American Business Press
Abstract:
The paper evaluates the performance of various Value-at-Risk (VaR) measures during the Global
Financial Crisis (GFC) period in five developed and five emerging markets. The models based on the
Extreme Value Theory (EVT) fit the observed distribution of extreme values well, in both pre-crisis and
the crisis periods, with the exception of the US market during the crisis period. However, the extreme loss
estimates based on pre-GFC period were not a reliable guide to the risk of actual losses during the
financial crisis. The back-testing procedure shows that while the dynamic EVT-VaR model performed
better than the competing models, the results are mixed for different markets and quintile levels.
