Value-at risk under normal assumption and extreme value theory

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: Chng, Xun Jin, Lim, Zhi Jun, Yan, Han
Other Authors: Wang, Peiming
Format: Final Year Project
Published: 2008
Subjects:
DRNTU::Business::Accounting
DRNTU::Business::Finance::Risk management
Online Access:http://hdl.handle.net/10356/10092
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Institution: Nanyang Technological University
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spelling sg-ntu-dr.10356-100922023-05-19T03:30:04Z Value-at risk under normal assumption and extreme value theory Chng, Xun Jin Lim, Zhi Jun Yan, Han Wang, Peiming Nanyang Business School DRNTU::Business::Accounting DRNTU::Business::Finance::Risk management 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. 2008-09-24T07:39:44Z 2008-09-24T07:39:44Z 2006 2006 Final Year Project (FYP) http://hdl.handle.net/10356/10092 Nanyang Technological University application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Accounting
DRNTU::Business::Finance::Risk management
spellingShingle DRNTU::Business::Accounting
DRNTU::Business::Finance::Risk management
Chng, Xun Jin
Lim, Zhi Jun
Yan, Han
Value-at risk under normal assumption and extreme value theory
description 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.
author2 Wang, Peiming
author_facet Wang, Peiming
Chng, Xun Jin
Lim, Zhi Jun
Yan, Han
format Final Year Project
author Chng, Xun Jin
Lim, Zhi Jun
Yan, Han
author_sort Chng, Xun Jin
title Value-at risk under normal assumption and extreme value theory
title_short Value-at risk under normal assumption and extreme value theory
title_full Value-at risk under normal assumption and extreme value theory
title_fullStr Value-at risk under normal assumption and extreme value theory
title_full_unstemmed Value-at risk under normal assumption and extreme value theory
title_sort value-at risk under normal assumption and extreme value theory
publishDate 2008
url http://hdl.handle.net/10356/10092
_version_ 1770566279372996608

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