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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| Format: | Theses and Dissertations |
| Language: | English |
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2008
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| Online Access: | http://hdl.handle.net/10356/7539 |
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| Institution: | Nanyang Technological University |
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sg-ntu-dr.10356-75392024-01-12T10:24:37Z Value at risk : extreme value theory and stress testing Lu, Duowei Zhang, Jianying Lim, Khee Siang Yan, Yuxing Nanyang Business School DRNTU::Business::Finance::Risk management 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. Master of Science (Financial Engineering) 2008-09-18T07:47:04Z 2008-09-18T07:47:04Z 2001 2001 Thesis http://hdl.handle.net/10356/7539 en Nanyang Technological University 39 p. application/pdf |
| institution |
Nanyang Technological University |
| building |
NTU Library |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
NTU Library |
| collection |
DR-NTU |
| language |
English |
| topic |
DRNTU::Business::Finance::Risk management |
| spellingShingle |
DRNTU::Business::Finance::Risk management Lu, Duowei Zhang, Jianying Lim, Khee Siang Value at risk : extreme value theory and stress testing |
| description |
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. |
| author2 |
Yan, Yuxing |
| author_facet |
Yan, Yuxing Lu, Duowei Zhang, Jianying Lim, Khee Siang |
| format |
Theses and Dissertations |
| author |
Lu, Duowei Zhang, Jianying Lim, Khee Siang |
| author_sort |
Lu, Duowei |
| title |
Value at risk : extreme value theory and stress testing |
| title_short |
Value at risk : extreme value theory and stress testing |
| title_full |
Value at risk : extreme value theory and stress testing |
| title_fullStr |
Value at risk : extreme value theory and stress testing |
| title_full_unstemmed |
Value at risk : extreme value theory and stress testing |
| title_sort |
value at risk : extreme value theory and stress testing |
| publishDate |
2008 |
| url |
http://hdl.handle.net/10356/7539 |
| _version_ |
1789483120263692288 |