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

• المؤلفون الرئيسيون: Lucero, Joe Marcoln R., Pacumio, Margaret C., Ramoy, Andrea Gabrielle L., Sy, Jerick Mark G.
• التنسيق: text
• اللغة: English
• منشور في: Animo Repository 2017
• الموضوعات: Mutual funds > Philippines; Risk management > Philippines
• الوصول للمادة أونلاين: https://animorepository.dlsu.edu.ph/etd_bachelors/8500
• المؤسسة: 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...