The Extreme Value Theory as a Tool to Measure Market Risk
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References listed on IDEAS
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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- David E. Giles & Qinlu Chen, 2014.
"Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory,"
Econometrics Working Papers
1402, Department of Economics, University of Victoria.
- Qinlu Chen & David E. Giles, 2017. "Risk Analysis for Three Precious Metals: An Application of Extreme Value Theory," Econometrics Working Papers 1704, Department of Economics, University of Victoria.
More about this item
KeywordsValue-at-Risk; Extreme Value Theory; copula.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-02 (All new papers)
- NEP-BAN-2011-08-02 (Banking)
- NEP-ECM-2011-08-02 (Econometrics)
- NEP-RMG-2011-08-02 (Risk Management)
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