Essays in financial risk management
In Chapter 1, the usefulness of Extreme Value Theory (EVT) methods, GARCH models, and skewed distributions in market risk measurement is shown by predicting and backtesting the one-day-ahead VaR for emerging stock markets and the S&P 500 index. It has been found that the conventional risk measur...
| Other Authors: | |
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| Format: | Others |
| Language: | English |
| Published: |
2011
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| Online Access: | http://hdl.handle.net/1911/62226 |