On Mathematical Models of Extreme Values Probabilities Mixtures
A new mathematical model of extreme values probability mixture is proposed in the paper. Effective computational algorithms for modeling probability mixture and value at risk (VaR) capital estimation are developed and rigorously proved. Comparative analysis of VaR-estimation with threshold and mixture models based on the Dow Jones historical data (01.01.1950 – 10.08.2005) has shown a high effectiveness of the last one for risk capital estimation of an issuing company
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