Add to ORKGFinancial markets frequently experience extreme movements in the negative side. Accurate computation of value at risk and expected shortfall are the main tasks of the risk managers or portfolio managers. In this paper, gold prices (in US dollars) have been examined to illustrate the main idea of extreme value theory and discuss the tail behaviour. GEV and GPD are used to compute VaR and ES. The results show that GPD model with threshold is a better choice
Extreme stock price movements are of great concern to both investors and the entire economy. For inv...
We compare the traditional GARCH models with a semiparametric approach based on extreme value theory...
EVT works on extreme affairs and those affairs are generally classified as outliers. Although in som...
This project attempts to model the extreme returns of different financial assets. The primary aim of...
The phenomenon of the occurrence of rare yet extreme events, “Black Swans ” in Taleb’s ter-minology,...
Extreme value theory (EVT) has been widely applied in fields such as hydrology and insurance. It is ...
port from the Swiss National Science Foundation (project 12–5248.97) is gratefully acknowledged. Man...
This paper develops an unconditional and conditional extreme value approach to calculating value at ...
This diploma thesis studies extreme value theory and its application in finan- cial risk management,...
The phenomenon of high volatility in financial markets stemming from the increased complexity of fin...
Many fields of modern science and engineering have to deal with events which are rare but have signi...
Assessing the probability of rare and extreme events is an important issue in the risk management of...
Extreme price movements in the financial markets are rare, but important. The stock market crash on ...
This paper presents extreme value theory and its application to the computation of the value at risk...
This paper presents two applications of Extreme Value Theory (EVT) to financial markets: computation...
Extreme stock price movements are of great concern to both investors and the entire economy. For inv...
We compare the traditional GARCH models with a semiparametric approach based on extreme value theory...
EVT works on extreme affairs and those affairs are generally classified as outliers. Although in som...
This project attempts to model the extreme returns of different financial assets. The primary aim of...
The phenomenon of the occurrence of rare yet extreme events, “Black Swans ” in Taleb’s ter-minology,...
Extreme value theory (EVT) has been widely applied in fields such as hydrology and insurance. It is ...
port from the Swiss National Science Foundation (project 12–5248.97) is gratefully acknowledged. Man...
This paper develops an unconditional and conditional extreme value approach to calculating value at ...
This diploma thesis studies extreme value theory and its application in finan- cial risk management,...
The phenomenon of high volatility in financial markets stemming from the increased complexity of fin...
Many fields of modern science and engineering have to deal with events which are rare but have signi...
Assessing the probability of rare and extreme events is an important issue in the risk management of...
Extreme price movements in the financial markets are rare, but important. The stock market crash on ...
This paper presents extreme value theory and its application to the computation of the value at risk...
This paper presents two applications of Extreme Value Theory (EVT) to financial markets: computation...
Extreme stock price movements are of great concern to both investors and the entire economy. For inv...
We compare the traditional GARCH models with a semiparametric approach based on extreme value theory...
EVT works on extreme affairs and those affairs are generally classified as outliers. Although in som...