Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan
AbstractThe purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani nancial data. It also in- troduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing nancial models for tail related risk measures.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 29288.
Date of creation: 2010
Date of revision:
Extreme Value Theory; Value at Risk; Financial Risk Man- agement; Financial Risk Modeling; Financial Time Series.;
Other versions of this item:
- Abdul Qayyum & Faisal Nawaz, 2011. "Measuring financial risk using extreme value theory: evidence from pakistan," Economics Bulletin, AccessEcon, vol. 31(1), pages A2.
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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