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

• Main Authors: Leong, Thin Hom., Neo, Wee Wu.
• Other Authors: Low, Chan Kee
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Banking; DRNTU::Business::General::Economic and business aspects
• Online Access: http://hdl.handle.net/10356/2159
• Institution: 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...