Extreme value theory, asset ranking and threshold choice : a practical note on VaR estimation
Benjamin R. Auer
| Year of publication: |
2015
|
|---|---|
| Authors: | Auer, Benjamin R. |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2015/2016, 1, p. 27-44
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| Subject: | Extreme value theory (EVT) | Peaks-over-threshold representation | Value-at-risk (VAR) | Original research | Risikomaß | Risk measure | Ausreißer | Outliers | VAR-Modell | VAR model | Theorie | Theory | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Ranking-Verfahren | Ranking method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013262944