摘要翻译：
极值理论(EVT)是金融学中最常用的度量投资组合下行风险的方法之一，尤其是在金融危机期间。本文提出了一种基于EVT的不确定EVT方法，以提高其预测精度，并捕捉超过EVT阈值的风险统计特征。在我们的框架中，通常假定为常数的极端风险阈值是一个动态随机变量。更准确地说，我们通过一个与状态相关的隐变量，称为盈亏平衡风险阈值(BRT)，作为风险和模糊度的函数，对EVT阈值进行建模和校准。我们将表明，当EVT方法与不可观测的BRT过程相结合时，不确定EVT的预测VaR可以预见到重大财务损失的风险，在样本外优于原始EVT方法，并在有效性和可预测性方面与已知的VaR模型相比具有竞争力。
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英文标题：
《The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain
Threshold》
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作者：
Hamidreza Arian, Hossein Poorvasei, Azin Sharifi, Shiva Zamani
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最新提交年份：
2020
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分类信息：

一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要：
Extreme Value Theory (EVT) is one of the most commonly used approaches in finance for measuring the downside risk of investment portfolios, especially during financial crises. In this paper, we propose a novel approach based on EVT called Uncertain EVT to improve its forecast accuracy and capture the statistical characteristics of risk beyond the EVT threshold. In our framework, the extreme risk threshold, which is commonly assumed a constant, is a dynamic random variable. More precisely, we model and calibrate the EVT threshold by a state-dependent hidden variable, called Break-Even Risk Threshold (BRT), as a function of both risk and ambiguity. We will show that when EVT approach is combined with the unobservable BRT process, the Uncertain EVT\'s predicted VaR can foresee the risk of large financial losses, outperforms the original EVT approach out-of-sample, and is competitive to well-known VaR models when back-tested for validity and predictability.
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