Value at risk : extreme value theory and stress testing

Value at risk : extreme value theory and stress testing

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.

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Bibliographic Details
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
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Institution: Nanyang Technological University
Language: English
Description
Summary: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.

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