Add to ORKGIncludes bibliographical references.The main aim of the study was to test the applicability of published EVT-based VaR calculation methods to the South African market. Two methods were tested on a hypothetical portolio of South African stocks, using the standard backtesting technique
This study applies Extreme Value Theory in calculating Value-at-Risk (VaR) of portfolios consisting ...
This paper conducts a comparative evaluation of the predictive performance of various Value-at-Risk ...
Extreme price movements in the financial markets are rare, but important. The stock market crash on ...
Value at Risk (VaR) has been established as one of the most important and commonly used financial ri...
CITATION: Williams, R., Van Heerden, J. D. & Conradie, W. J. 2018. Value at risk and extreme value t...
This diploma thesis studies extreme value theory and its application in finan- cial risk management,...
Purpose – The purpose of this paper is to discuss two important extensions to the well-known value-a...
Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for ...
textabstractA scientific way of looking beyond the worst-case return is to employ statistical extrem...
This study focuses on the relative performance of three Value-at-Risk (VaR) estimation methodologies...
Portfolio risk management is a complicated process, which requires an attentive data analysis and a ...
Assessing the extreme events is crucial in financial risk management. All risk managers and and fina...
Value at Risk (VaR) is a measure of the maximum potential change in value of a portfolio of financia...
This paper compares a number of different extreme value models for determining the value at risk (Va...
In this paper, we consider the application of Extreme Value Theory as a risk measurement tool. The V...
This study applies Extreme Value Theory in calculating Value-at-Risk (VaR) of portfolios consisting ...
This paper conducts a comparative evaluation of the predictive performance of various Value-at-Risk ...
Extreme price movements in the financial markets are rare, but important. The stock market crash on ...
Value at Risk (VaR) has been established as one of the most important and commonly used financial ri...
CITATION: Williams, R., Van Heerden, J. D. & Conradie, W. J. 2018. Value at risk and extreme value t...
This diploma thesis studies extreme value theory and its application in finan- cial risk management,...
Purpose – The purpose of this paper is to discuss two important extensions to the well-known value-a...
Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for ...
textabstractA scientific way of looking beyond the worst-case return is to employ statistical extrem...
This study focuses on the relative performance of three Value-at-Risk (VaR) estimation methodologies...
Portfolio risk management is a complicated process, which requires an attentive data analysis and a ...
Assessing the extreme events is crucial in financial risk management. All risk managers and and fina...
Value at Risk (VaR) is a measure of the maximum potential change in value of a portfolio of financia...
This paper compares a number of different extreme value models for determining the value at risk (Va...
In this paper, we consider the application of Extreme Value Theory as a risk measurement tool. The V...
This study applies Extreme Value Theory in calculating Value-at-Risk (VaR) of portfolios consisting ...
This paper conducts a comparative evaluation of the predictive performance of various Value-at-Risk ...
Extreme price movements in the financial markets are rare, but important. The stock market crash on ...