Dynamic extreme value theory (DEVT): a dynamic approach for obtaining value-at-risk (VaR).

by Leung Tsun Ip.Thesis (M.Phil.)--Chinese University of Hong Kong, 2006.Includes bibliographical references (leaves 72-78).Abstracts in English and Chinese.Chapter 1. --- Introduction --- p.1Chapter 2. --- Literature Review --- p.6Chapter 2.1 --- Development of estimation of Value-at-Risk (VaR) --- p.6Chapter 2.2 --- Methods to evaluate VaR --- p.9Chapter 2.2.1 --- Non-paremetric Method --- p.9Chapter 2.2.2 --- Semi-parametric Method --- p.11Chapter 2.2.3 --- Parametric Method --- p.12Chapter 3. --- Extreme Value Theory (EVT) --- p.16Chapter 3.1 --- Introduction of Extreme Value Theory (EVT) --- p.16Chapter 3.1.1 --- Block Maxima Approach --- p.18Chapter 3.1.2 --- Peaks over Threshold (POT) Approach --- p.21Chapter 3.1.3 --- Comparison between Block Maxima and POT Approach --- p.22Chapter 3.2 --- Numerical Illustration --- p.23Chapter 3.2.1 --- Data --- p.23Chapter 3.2.2 --- Diagnosis --- p.24Chapter 4. --- Dynamic Extreme Value Theory (DEVT) --- p.29Chapter 4.1 --- Theoretical Framework of DEVT --- p.29Chapter 4.2 --- Estimation of Parameters --- p.32Chapter 4.3 --- Determination of Threshold Level --- p.37Chapter 4.4 --- Estimation of zq --- p.44Chapter 5. --- Backtesting and Time Aggregation --- p.49Chapter 5.1 --- Backtesting DEVT --- p.49Chapter 5.2 --- Time Aggregation --- p.55Chapter 6. --- Case Study: China Aviation Oil Singapore (CAO) Incident --- p.61Chapter 6.1 --- Background Information --- p.61Chapter 6.2 --- Data Analysis --- p.63Chapter 6.3 --- Suggestion --- p.68Chapter 7. --- Discussion --- p.71References --- p.72Chapter A. --- Appendix --- p.7