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VaR - A Measure for Extreme Risk
Company: Solutions
Year Of Publication: 1998
Month Of Publication: January
Download Count: 1011
View Count: 6670
Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 8-31-2002
Publisher: Administrator
Summary
Common methods for the estimation of the Value-at-Risk (VaR) are the empirical method and the normal method. We present an alternative estimation procedure based on the probabilistic modelling of the extreme values of a sample. The possible future risk is estimated by means of past extreme values observed in the data.
Author(s)
Emmer, Suzanne Sign in to follow this author
Kluppelberg, Claudia Sign in to follow this author
Trüstedt, M. Sign in to follow this author
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