On Value-at-Risk and the more extreme : A study on quantitative market risk measurements
Inline with the third pillar of the Basel accords, quantitative market risk measurements are investigate and evaluated comparing JP Morgan’s RiskMetrics and Bollerslev’s GARCH with the Peek over Threshold and Block Maxima approaches from the Extreme Value Theory framework. Value-at-Risk and Expected...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Statistiska institutionen
2015
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256173 |