Please use this identifier to cite or link to this item: https://scholarhub.balamand.edu.lb/handle/uob/3618
Title: Modeling the variability of the art markets using the extreme value theory and calculating their risk measures
Authors: Klayme, Tania
Advisors: Charif, Husni 
Subjects: Art as an investment
Art--Economic aspects
Issue Date: 2016
Abstract: 
This paper attempts to measure the riskiest markets in the art domain. The goal is achieved by using the Extreme Value Theory. The EVT model attempt to use the extreme events happened in each variable to calculate the extreme market risk. Extreme Value Theory provides a well organized statistical model to calculate the extreme risk measures like the Value at Risk and the Expected Shortfall. In my project, I demonstrated that the EVT was successfully applied to the art market log returns, for predicting in the next step the VaR and ES. The study was conducted for 10 variables related to art market from April 1998 to January 2015. The major findings of the study are 1) the VaR estimation for the right tail distribution using the historical simulation shows that 19th century, drawings and sculpture had the highest VaR values at 0.5%, 1% and 5% tail probabilities, respectively. For the let tail, Modern art was the riskiest among the other art log returns at 0.5% and 1% tail probabilities and drawings at 5%.2) The EVT was successfully applied to the art market log returns, for predicting in the next step the VaR and ES. The risk estimation using EVT shows that drawings, old masters and modern art enclosed the highest VaR values.
Description: 
Includes bibliographical references (p. 59-62).

Supervised by Dr. Husni Charif.
URI: https://scholarhub.balamand.edu.lb/handle/uob/3618
Rights: This object is protected by copyright, and is made available here for research and educational purposes. Permission to reuse, publish, or reproduce the object beyond the personal and educational use exceptions must be obtained from the copyright holder
Ezproxy URL: Link to full text
Type: Project
Appears in Collections:UOB Theses and Projects

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