Value-at risk under normal assumption and extreme value theory

• المؤلفون الرئيسيون: Chng, Xun Jin, Lim, Zhi Jun, Yan, Han
• مؤلفون آخرون: Wang, Peiming
• التنسيق: Final Year Project
• منشور في: 2008
• الموضوعات: DRNTU::Business::Accounting; DRNTU::Business::Finance::Risk management
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/10092
• المؤسسة: Nanyang Technological University

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...