A comparative study of VaR and ES using extreme value theory
Using data from OMXS30, we study which of the models block maxima and peaks-over-threshold, based on extreme value theory, are the most accurate when estimating the risk measures Value-at-Risk and Expected Shortfall. To perform this analysis, the risk measures are backtested. The extreme observations are fitted to the generalized extreme value distribution and the generalized Pareto distribution u