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Risk Management With Extreme Value Theory
Company: University of Munich
Company Url: Click here to open
Year Of Publication: 2002
Month Of Publication: March
Resource Link: Click here to open
Pages: 62
Download Count: 1233
View Count: 10307
Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 11-29-2002
Publisher: Administrator
Summary
Taking extreme fluctuations of financial data into account we want to answer the following questions:- How does one estimate VaR from financial time series under realistic model assumptions?- What is the consequence of VaR as a risk measure based on a low quantile for portfolio optimization
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Kluppelberg, Claudia Sign in to follow this author
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