Value at risk : extreme value theory and stress testing

• Main Authors: Lu, Duowei, Zhang, Jianying, Lim, Khee Siang
• Other Authors: Yan, Yuxing
• Format: Theses and Dissertations
• Language: English
• Published: 2008
• Subjects: DRNTU::Business::Finance::Risk management
• Online Access: http://hdl.handle.net/10356/7539
• Institution: Nanyang Technological University

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.