On Mathematical Models of Extreme Values Probabilities Mixtures

A new mathematical model of extreme values probability mixture is proposed in the paper. Effective computational algorithms for modeling probability mixture and value at risk (VaR) capital estimation are developed and rigorously proved. Comparative analysis of VaR-estimation with threshold and mixture models based on the Dow Jones historical data (01.01.1950 – 10.08.2005) has shown a high effectiveness of the last one for risk capital estimation of an issuing company

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Year of publication:	2007
Authors:	Shchetinin, Eugene ; Nazarenko, Kirill
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 7.2007, 3, p. 44-52
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	VaR \| risk capital estimation

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Extent:	application/pdf
Type of publication:	Article
Classification:	E22 - Capital; Investment (including Inventories); Capacity ; E31 - Price Level; Inflation; Deflation ; O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products ; Q32 - Exhaustible Resources and Economic Development
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009366489