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Extreme Risk and Value-at-Risk in the German Stock Market
Year Of Publication: 2006
Month Of Publication: January
Pages: 33
Download Count: 589
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 1-31-2006
Publisher: Administrator
Summary
Extreme Value Theory methods are used to investigate the distribution of the extreme minimain the German stock market over the period 1973 to 2001. Innovative aspects of this paperinclude (i) a wide set of distributions considered, (ii) L-moment diagrams employed toidentify the most appropriate distribution/s, (iii) Probability Weighted Moments used toestimate the parameters of these distribution/s and (iv) the Anderson-Darling goodness of fittest employed to test the adequacy of fit. The Generalised Logistic distribution is found toprovide adequate descriptions of the extreme minima of the German stock market over theperiod studied. VaR analysis results show that the EVT methods used in this study can beparticularly useful for market risk measurement since they produce estimates that outperformthose derived by traditional methods at high confidence levels.
Author(s)
Tolikas, Konstantinos Sign in to follow this author
Athanasios, Koulakiotis Sign in to follow this author
Brown, Richard A. Sign in to follow this author
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