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A Comparison of Value at Risk Approaches and a New Method with Extreme Value Theory and Kernel Estimator
Company: New York City Department of Finance
Year Of Publication: 2005
Month Of Publication: February
Pages: 34
Download Count: 31
View Count: 2158
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-5-2010
Publisher: Administrator
This paper provides an overview of methodologies, developments, and applications of
Value at Risk (VaR). Various key methodologies of VaR estimation and evaluation are
discussed and compared. A new approach with extreme value theory (EVT) and kernel
estimator technique is proposed. The empirical study utilizing a sample of portfolios and
stocks for more than 13 years data shows that the new EVT with kernel estimator
approach outperforms other existing methods.
Huang, Alex YiHou Sign in to follow this author
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