Measuring market risk using extreme value theory
Abstract (The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutions to develop Value-at-Risk VaR models to measure market risk. In this study, two VaR modles are considered using the Peaks-Over-Threshold POT approach of the Extreme Value Theory, 1 Static...
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| Resource Type: | Thesis |
| Language: | English |
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Quezon City
University of the Philippines
c2009.
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Main Library: University Archives Division (UP Diliman)
| Accession # | Call # | Volume/Part# | Copy # | Collection | Circulation Type | Circulation Status |
|---|---|---|---|---|---|---|
| UARD-13880T | LG 996 2009 S8 S83 | Room-use Only | On-Shelf |
School of Statistics (UP Diliman)
| Accession # | Call # | Volume/Part# | Copy # | Collection | Circulation Type | Circulation Status |
|---|---|---|---|---|---|---|
| SOS-345T | LG 995 2009 S8 S83 | Room-use Only | On-Shelf |