A Generalized Extreme Value Approach to Financial Risk Measurement
This paper develops an unconditional and conditional extreme value approach to calculating value at risk (VaR), and shows that the maximum likely loss of financial institutions can be more accurately estimated using the statistical theory of extremes. The new approach is based on the distribution of...
| Veröffentlicht in: | Journal of Money, Credit and Banking. - Blackwell Publishing. - 39(2007), 7, Seite 1613-1649 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2007
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| Zugriff auf das übergeordnete Werk: | Journal of Money, Credit and Banking |
| Schlagworte: | Financial risk management Value at risk Extreme value theory Skewed fat-tailed distributions Mathematics Economics |
| Online verfügbar |
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