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

• Main Authors: Leong, Thin Hom., Neo, Wee Wu.
• 其他作者: Low, Chan Kee
• 格式: Final Year Project
• 出版: 2008
• 主題: DRNTU::Business::Finance::Banking; DRNTU::Business::General::Economic and business aspects
• 在線閱讀: http://hdl.handle.net/10356/2159

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...