Value-at-risk based extreme value theory method and copulas : empirical evidence from Central Europe
Assessing the extreme events is crucial in financial risk management. All risk managers and and financial institutions want to know the risk of their portfolio under rare events scenarios. We illustrate a multivariate Monte Carlo and semi-parametric method to estimate Value-at-Risk (VaR) for a portf...
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| Format: | Dissertation |
| Language: | English |
| Published: |
2010
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| Online Access: | http://www.nusl.cz/ntk/nusl-286724 |