Application of extreme value theory to the calculation of value-at-risk
Includes 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.
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2014
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| Online Access: | http://hdl.handle.net/11427/4930 |