Uppal, Jamshed Y.; Mudakkar, Syeda Rabab - In: Risk management post financial crisis : a period of …, (pp. 417-437). 2014
Application of financial risk models in the emerging markets poses special challenges. A fundamental challenge is to accurately model the return distributions which are particularly fat tailed and skewed. Value-at-Risk (VaR) measures based on the Extreme Value Theory (EVT) have been suggested,...