Evaluation of Value at Risk (VaR) using extreme value theory in Asian four tigers.

• المؤلفون الرئيسيون: Leong, Thin Hom., Neo, Wee Wu.
• مؤلفون آخرون: Low, Chan Kee
• التنسيق: Final Year Project
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Banking; DRNTU::Business::General::Economic and business aspects
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/2159
• المؤسسة: Nanyang Technological University

Value at Risk (VaR) is widely applied in finance for quantitative risk management for many types of risks in the market. It is commonly used in trading portfolio by banks and other financial institutions for the past decade. Our objective for this paper is to understand and apply Extreme Value Theo...