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Essays in Financial Risk Management
Company: Rice University
Year Of Publication: 2010
Month Of Publication: January
Resource Link: Click here to open
Pages: 136
Download Count: 0
View Count: 1255
Comment Num: 0
Language: English
Source: Thesis
Who Can Read: Free
Date: 5-13-2014
Publisher: Administrator
Summary
In Chapter 1, the usefulness of EVT methods, GARCH models, and skewed distributions in market risk measurements is shown by predicting and backtesting the one-day-ahead VaR for emerging stock markets and the S&P 500 index. In Chapter 2 the dependence of the extreme losses of the emerging stock market indices is analyzed.
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Author(s)
Ergen, Ibrahim Sign in to follow this author
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