Measuring market risk using extreme value theory
In this paper, two VaR models are considered using the peaks-over-threshold (POT) approach of the extreme value theory (EVT): (1) static EVT model, which is the straightforward application of POT to the residuals of the fitted AR-GARCH model. The results are compared with traditional VaR methods suc...
| Main Authors: | , |
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| Resource Type: | Analytics |
| Language: | English |
| Published: |
[Quezon City]
School of Economics, University of the Philippines
2009.
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| Subjects: | |
| Online Access: | https://forms.gle/KZjBv7aRtY6jiL5E9 |
Internet
https://forms.gle/KZjBv7aRtY6jiL5E9UP Baguio Main Library (UP Baguio)
| Accession # | Call # | Volume/Part# | Copy # | Collection | Circulation Type | Circulation Status |
|---|---|---|---|---|---|---|
| ARTICLE-2043 | ARTICLE-2043 | Room-use Only | On-Shelf |