Value-at risk under normal assumption and extreme value theory
In this paper, we wanted to compare and contrast the VaR estimates under the Normal assumption and the Extreme Value Theory for a selected portfolio of Singapore stocks. The methodologies chosen for the computations are the Variance-Covariance method and Generalised Extreme Value distribution app...
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| Main Authors: | , , |
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| 其他作者: | |
| 格式: | Final Year Project |
| 出版: |
2008
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| 主題: | |
| 在線閱讀: | http://hdl.handle.net/10356/10092 |
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| 總結: | In this paper, we wanted to compare and contrast the VaR estimates under the Normal
assumption and the Extreme Value Theory for a selected portfolio of Singapore stocks. The
methodologies chosen for the computations are the Variance-Covariance method and
Generalised Extreme Value distribution approach. The results of our study over the sample
period show us that the VaR estimates under the Extreme Value Theory assumption
outperform that of the estimations computed under the Normal assumption. |
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