Value-at-risk: Applying the extreme value approach to Asian markets in the recent financial turmoil

Value-at-risk (VaR) measures are generated using extreme value theory by modelling the tails of the return distributions of six Asian financial markets during the recent volatile market conditions. The maxima and minima of these return series were found to be satisfactorily modelled within an extreme value framework and the value at risk measures generated within this structure were found to be different to those generated by variance–covariance and historical methods, particularly for markets characterised by high degrees of leptokurtosis such as Malaysia and Indonesia.