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Measuring financial risk using extreme value theory: evidence from pakistan

Author

Listed:
  • Abdul Qayyum

    (Pakistan Institute of Development Economics)

  • Faisal Nawaz

    (COMSATS Institute of Information Technology, Attock)

Abstract

The purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani financial data. It also introduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing financial models for tail related risk measures.

Suggested Citation

  • Abdul Qayyum & Faisal Nawaz, 2011. "Measuring financial risk using extreme value theory: evidence from pakistan," Economics Bulletin, AccessEcon, vol. 31(1), pages 1-2.
    • Handle: RePEc:ebl:ecbull:eb-10-00805
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    File URL: http://www.accessecon.com/pubs/EB/2011/Volume31/EB-11-V31-I1-A2.pdf
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    More about this item

    Keywords

    Extreme Value Theory; Value at Risk; Financial Risk Management; Financial Risk Modeling; Financial Time Series.;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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