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Extreme value theory 1 Value at Risk 1 robust methods of estimation 1 semi-nonparametric method 1
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English 1
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Majewska, Justyna 1 Trzpiot, Grazyna 1
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Operations Research and Decisions 1
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Estimation of Value at Risk: Extreme value and robust approaches
Trzpiot, Grazyna; Majewska, Justyna - In: Operations Research and Decisions 1 (2010), pp. 131-143
The large portfolios of traded assets held by many financial institutions have made the measurement of market risk a necessity. In practice, VaR measures are computed for several holding periods and confidence levels. A key issue in implementing VaR and related risk measures is to obtain...
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