Empirical comparison of extreme value theory vis-À-vis other methods of VaR estimation using ASEAN+3 exchange rates

• Main Authors: Rufino, Cesar C., de Guia, Emmanuel G.
• Format: text
• Published: Animo Repository 2011
• Subjects: Financial risk; Extreme value theory; Foreign exchange; Business
• Online Access: https://animorepository.dlsu.edu.ph/faculty_research/37; https://animorepository.dlsu.edu.ph/context/faculty_research/article/1036/type/native/viewcontent/ber.v20i2.1910
• Institution: De La Salle University

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...