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Extreme Market Risk and Extreme Value Theory
Company: Mathematics and Computers in Simulation
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: June
Resource Link: Click here to open
Download Count: 0
View Count: 1272
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 6-17-2012
Publisher: Administrator
Summary
In this paper we apply Univariate Extreme Value Theory to model extreme market risk for the ASX-All Ordinaries (Australian) index and the S&P-500 (USA) Index. We demonstrate that EVT can be successfully applied to financial market return series for predicting static VaR, CVaR or Expected Shortfall (ES) and expected Return Level and also daily VaR using a GARCH(1,1) and EVT based dynamic approach.
A preprint version of this document may be available here: http://bit.ly/10xhPYD
Author(s)
Singh, Abhay Kumar Sign in to follow this author
Allen, David E. Sign in to follow this author
Powell, Robert J. Sign in to follow this author
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