Empirical comparison of extreme value theory vis-À-vis other methods of VaR estimation using ASEAN+3 exchange rates
This study applies Extreme Value Theory in calculating Value-at-Risk (VaR) of portfolios consisting of foreign exchange exposures of ASEAN+3 countries. This paper addresses the issue that traditional VaR models assume normality of the return distribution. Empirical evidence confirms the stylized fac...
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| 格式: | text |
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Animo Repository
2011
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| 在線閱讀: | https://animorepository.dlsu.edu.ph/faculty_research/37 https://animorepository.dlsu.edu.ph/context/faculty_research/article/1036/type/native/viewcontent/ber.v20i2.1910 |
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| 機構: | De La Salle University |