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.
Saved in:
Main Authors: | Lu, Duowei, Zhang, Jianying, Lim, Khee Siang |
---|---|
Other Authors: | Yan, Yuxing |
Format: | Theses and Dissertations |
Language: | English |
Published: |
2008
|
Subjects: | |
Online Access: | http://hdl.handle.net/10356/7539 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Nanyang Technological University |
Language: | English |
Similar Items
-
Value-at risk under normal assumption and extreme value theory
by: Chng, Xun Jin, et al.
Published: (2008) -
Value-at-risk, informativeness of earnings.
by: Lim, Benjamin Wan Heng., et al.
Published: (2008) -
Value relevance of mandated market risk exposure disclosure : value-at-risk.
by: Sentosa, Adi., et al.
Published: (2008) -
Applications of extreme value theory in finance.
by: Lim, Sharon Chin Wei., et al.
Published: (2008) -
Evaluation of Value at Risk (VaR) using extreme value theory in Asian four tigers.
by: Leong, Thin Hom., et al.
Published: (2008)