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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書目詳細資料
Main Authors:	Chng, Xun Jin, Lim, Zhi Jun, Yan, Han
其他作者:	Wang, Peiming
格式:	Final Year Project
出版:	2008
主題:	DRNTU::Business::Accounting DRNTU::Business::Finance::Risk management
在線閱讀:	http://hdl.handle.net/10356/10092
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University

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