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Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan

Author

Listed:
  • Qayyum, Abdul
  • Nawaz, Faisal

Abstract

The 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.

Suggested Citation

  • Qayyum, Abdul & Nawaz, Faisal, 2010. "Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan," MPRA Paper 29288, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:29288
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    File URL: https://mpra.ub.uni-muenchen.de/29288/1/MPRA_paper_29288.pdf
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    Keywords

    Extreme Value Theory; Value at Risk; Financial Risk Man- agement; Financial Risk Modeling; Financial Time Series.;
    All these keywords.

    JEL classification:

    • 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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