id	author	title	date	pages	extension	mime	words	sentences	flesch	summary	cache	txt
cord-034839-6xctzwng	Bień-Barkowska, Katarzyna	Looking at Extremes without Going to Extremes: A New Self-Exciting Probability Model for Extreme Losses in Financial Markets	2020-07-20		.txt	text/plain	9893	480	58	We aim to contribute to this strand of research by proposing a new self-exciting probability peaks-over-threshold (SEP-POT) model with the prerogative of being adequately tailored to the dynamics of real-world extreme events in financial markets. The point-process POT model approximates the time-varying conditional probability of an extreme loss over a given day with the help of a conditional intensity function that characterizes the arrival rate of such extreme events. According to such a point process approach to POT models, the first factor on the left-hand side of Equation (3) (i.e., the conditional probability of a threshold exceedance over day t + 1) can be derived based on the (time varying) conditional intensity function as follows: The dynamic versions of the POT models benefit from both (1) the point process theory, which allows for the time-varying intensity rate of threshold exceedances, and hence, the clustering of extreme losses, and (2) the EVT, which allows us to account for the tail risk of financial instruments.	./cache/cord-034839-6xctzwng.txt	./txt/cord-034839-6xctzwng.txt