Measuring market risk using extreme value theory
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References listed on IDEAS
- Jose A. Lopez, 1999.
"Methods for evaluating value-at-risk estimates,"
Federal Reserve Bank of San Francisco, pages 3-17.
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- Cayton, Peter Julian A. & Mapa, Dennis S., 2012. "Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology," MPRA Paper 36206, University Library of Munich, Germany.
- Edward P. Santos & Dennis S. Mapa & Eloisa T. Glindro, 2010.
"Estimating inflation-at-risk (IaR) using extreme value theory (EVT),"
Philippine Review of Economics,
University of the Philippines School of Economics and Philippine Economic Society, vol. 47(2), pages 21-40, December.
- Santos, Edward P. & Mapa, Dennis S. & Glindro, Eloisa T., 2011. "Estimating Inflation-at-Risk (IaR) using Extreme Value Theory (EVT)," MPRA Paper 28266, University Library of Munich, Germany.
- Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese, 2009. "Estimating Value-at-Risk (VaR) using TiVEx-POT Models," MPRA Paper 25772, University Library of Munich, Germany.
More about this item
Keywordsextreme value theory; peaks-over-threshold; value-at-risk; market risk; risk management;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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