ANALYSIS OF EXTREME VALUES THEORY AND MONTE CARLO SIMULATION FOR THE CALCULATION OF VALUE-AT-RISK IN STOCK PORTFOLIOS

ANALYSIS OF EXTREME VALUES THEORY AND MONTE CARLO SIMULATION FOR THE CALCULATION OF VALUE-AT-RISK IN STOCK PORTFOLIOS

PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO === COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR === PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO === Após as recentes crises financeiras que se abateram sobre os mercados financeiros de todo o mundo, com mais propriedade...

Full description

Bibliographic Details
Main Author:	GUSTAVO JARDIM DE MORAIS
Other Authors:	CARLOS PATRICIO SAMANEZ
Language:	Portuguese
Published:	PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO 2011
Online Access:	http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34443@1 http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=34443@2

Similar Items

[en] ANALYSIS OF EXTREME VALUES THEORY AND MONTE CARLO SIMULATION FOR THE CALCULATION OF VALUE-AT-RISK IN STOCK PORTFOLIOS
by: GUSTAVO JARDIM DE MORAIS
Published: (2018)

Quasi-Monte Carlo Efficiency in Portfolio Value-at-Risk Simulation
by: Chen-Shun Lin, et al.
Published: (2007)

Monte Carlo methods in calculating value at risk
by: Li, Xin
Published: (2010)

Behavior Stocks Portfolio Optimization utilizing Extreme Value Theory
by: Wu-Kang Lin, et al.
Published: (2016)

Application of extreme value theory to the calculation of value-at-risk
by: Seymour, Anthony
Published: (2014)

Randomized Quasi-Monte Carlo Efficiency in Portfolio Value-at-Risk Estimation Methods
by: Hsuan-Chieh Wang, et al.
Published: (2010)

Monte Carlo Financial Computing in Stock Option Price and Value at Risk
by: Jhih Shen Fang, et al.
Published: (2006)

Applying Value-at-Risk and extreme value theory to dynamic portfolio insurance strategy
by: Chiu Shin-Chi, et al.
Published: (2004)

Extreme value theory with Markov chain Monte Carlo - an automated process for EVT in finance
by: Bramstång, Philip, et al.
Published: (2015)

Portfolio Tail Risk: A Multivariate Extreme Value Theory Approach
by: Miloš Božović
Published: (2020-12-01)

Empirical Studies of Critical Value Filter of Monte Carlo Simulation in United States Stock Market
by: JHANG,YA-LING, et al.
Published: (2019)

THe present value relation and stock price volatility : the U.K. evidence and Monte Carlo simulations
by: Thomas, Vassilis
Published: (1995)

Value at Risk Calculation of Portfolio by Copula Model
by: Chien-shuen Huang, et al.
Published: (2006)

Project Portfolio Construction Using Extreme Value Theory
by: Jolanta Tamošaitienė, et al.
Published: (2021-01-01)

Applying Extreme Value Theory in Behavioral Portfolio Optimization
by: Chia-Yen Hou, et al.
Published: (2014)

The Empirical Analysis of Portfolio Value-at-Risk Estimations Incorporating Extreme Value Distribution
by: Wei-Lun Cheng, et al.
Published: (2016)

Parameter Estimation in Extreme Value Models with Markov Chain Monte Carlo Methods
by: Gausland, Eivind Blomholm
Published: (2010)

Monte Carlo Methods for Multifactor Portfolio Credit Risk
by: Yi-hsi Lee, et al.
Published: (2010)

Value at Risk and Extreme Value Theory: An Empirical Study on Taiwan Stock and Exchange Markets.
by: Pei-Chen Yang, et al.
Published: (2002)

EXTREME VALUE THEORY: VALUE AT RISK FOR VARIABLE-INCOME ASSETS
by: GUSTAVO LOURENÇO GOMES PIRES
Published: (2008)

Valuing Origin Switching Options Using Monte Carlo Simulation
by: Hanson, Cole Thomas
Published: (2021)

Examining the Value of Monte Carlo Simulation for Project Time Management
by: Goran Avlijas
Published: (2018-03-01)

The Value-At-Risk Estimate of Stock and Currency-Stock Portfolios’ Returns
by: Jung-Bin Su, et al.
Published: (2018-11-01)

A Monte Carlo simulation technique to determine the optimal portfolio
by: Hassan Ghodrati, et al.
Published: (2014-03-01)

An Extreme Value Model Based Value at Risk Estimation for Equity Portfolio in Taiwan
by: Yen-hsin Chen, et al.
Published: (1999)

Value at Risk for Grain Futures Portfolio- The Application of GARCH and Extreme Value Model
by: Hsieh, Chin-Hsing, et al.
Published: (2004)

Monte Carlo perturbation theory in neutron transport calculations
by: Hall, M. C. G.
Published: (1980)

Monte Carlo methods for the estimation of value-at-risk and related risk measures
by: Marks, Dean
Published: (2015)

EXTREME VALUE THEORY: A CONDITIONAL APPROACH FOR VALUE AT RISK ESTIMATION IN THE BRAZILIAN STOCK MARKET
by: FLAVIA COUTINHO MARTINS
Published: (2000)

EXTREME VALUE THEORY: A CONDITIONAL APPROACH FOR VALUE AT RISK ESTIMATION IN THE BRAZILIAN STOCK MARKET
by: FLAVIA COUTINHO MARTINS
Published: (2000)

[en] EXTREME VALUE THEORY: VALUE AT RISK FOR VARIABLE-INCOME ASSETS
by: GUSTAVO LOURENÇO GOMES PIRES
Published: (2008)

Monte Carlo methods for mean-risk optimization and portfolio selection
by: Xu, Huifu, et al.
Published: (2010)

Accuracy of reliability calculated by the Monte Carlo simulation method
by: Dušan Đ. Ostojić, et al.
Published: (2012-10-01)

COMPARISON OF VALUE AT RISK APPROACHES ON A STOCK PORTFOLIO
by: Šime Čorkalo
Published: (2011-02-01)

Value-at-Risk Estimates for Pension Fund Stock Portfolio
by: Jung-Chun Tu, et al.
Published: (1999)

Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation
by: José Lamartine Távora Junior, et al.
Published: (2006-12-01)

A study on increasing Monte Carlo Simulation Method’s ability for assessing Value-at-Risk(VAR)
by: Lin, Pao-Lin, et al.
Published: (2002)

The Effect of Assets Portfolio Return with Portfolio Concentration and Length of Holding Period - Monte Carlo Simulation Analysis
by: Ping-Ruei Chen, et al.
Published: (2011)

Monte Carlo Simulation applications in non-linear portfolio VaR
by: Lu Cheng Yin, et al.
Published: (2001)

Safety-First Portfolio Selection Problem under Extreme Value Theory
by: Tze-Li Lin, et al.
Published: (2006)