Extreme value approach: The fourth model of value-at-risk

• Main Authors: Lucero, Joe Marcoln R., Pacumio, Margaret C., Ramoy, Andrea Gabrielle L., Sy, Jerick Mark G.
• Format: text
• Language: English
• Published: Animo Repository 2017
• Subjects: Mutual funds > Philippines; Risk management > Philippines
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/8500
• Institution: De La Salle University

This study focuses on assessing the accuracy of the existing and widely accepted value-at-risk estimation models-- traditional historical simulation, parametric method, Monte Carlo simulation and the relatively new method, the extreme value approach. Moreover, this study emphasizes the volatility of...