Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

EVT sign in to follow this
extreme value theory sign in to follow this
kernel estimation sign in to follow this
Categories:

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
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: 2035
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-5-2010
Publisher: Administrator
Summary
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.
Author(s)
Huang, Alex YiHou Sign in to follow this author
This document's citation network:
Similar Documents:
Documents cited in this work:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile