Value at risk : extreme value theory and stress testing

• المؤلفون الرئيسيون: Lu, Duowei, Zhang, Jianying, Lim, Khee Siang
• مؤلفون آخرون: Yan, Yuxing
• التنسيق: Theses and Dissertations
• اللغة: English
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Risk management
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/7539

In this paper, we tap on some ideas and approaches described by Kellezi and Gilli (2000) and present data analysis on 10 market indexes, covering major, developed and emerging financial markets.