How does the Brexit vote affect tail risk? An extreme value approach for the UK financial markets
使用极值理论中的峰值超过阈值法，研究英国脱欧公投对FTSE-100指数、英镑/欧元汇率、英国国债及九种信用违约互换的尾部风险影响，发现下行尾部风险未显著上升，但上行尾部风险（大额盈利概率）下降。
Abstract We study the impact of the Brexit vote on tail risk in the UK financial markets. To this end, we estimate a widely used measure of risk, the Value at Risk, as an indicator of tail risk. We use extreme value theory, based on the peaks-over-threshold method, to model the extremes over a high threshold before and after the UK’s momentous decision to leave the European Union employing non-parametric and semi-parametric estimation techniques. We apply a bias-corrected method to reduce small sample estimation bias through a non-parametric bootstrap simulation. For the analysis, we focus on the FTSE-100 index, the GBP/EUR exchange rate, the Treasury Gilt, and nine credit default swaps of the most important industry sectors. The findings suggest that the new structure of downside tail risk -either frequency or magnitude- associated with large losses is not higher than its pre-Brexit levels. However empirical evidence suggests that the upside-tail estimates (i.e., the likelihood of large profits) have now decreased.