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Value at Risk: Une Nouvelle Approche Fondee sur les Valeurs Extremes
Company: Annales d'Economie et de Statistique
Year Of Publication: 1998
Month Of Publication: January
Resource Link: Click here to open
Pages: 1-29
Download Count: 0
View Count: 1340
Comment Num: 0
Language: French
Source: article
Who Can Read: Free
Date: 6-29-2012
Publisher: Administrator
Summary
This paper presents the theory of extreme values ??and its application to calculating value at risk of a position. This statistical theory is used to quantify the behavior of extreme movements in prices and rates so that a new measure of bankruptcy risk can be defined. It is used to calculate the value at risk of a position on the French stock market. The results of the extreme value method are compared with those of traditional methods that describe the statistical behavior of all returns. These empirical results can analyze French regulations in the field of market risks.
(number 52)
Author(s)
Longin, Francois M. Sign in to follow this author
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