Measuring market risk using extreme value theory
Year of publication: |
2009-12
|
---|---|
Authors: | Mapa, Dennis S. ; Suaiso, Oliver Q. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | extreme value theory | peaks-over-threshold | value-at-risk | market risk | risk management |
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