Value at Risk Estimation using Extreme Value Theory

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Date: 2013-01-15 23:48:05 Mathematical finance Econometrics Autoregressive conditional heteroskedasticity Time series analysis Extreme value theory Generalized extreme value distribution RiskMetrics Financial risk modeling Expected shortfall Statistics Actuarial science Financial risk		Value at Risk Estimation using Extreme Value Theory Add to Reading List Source URL: www.mssanz.org.au Download Document from Source Website File Size: 552,18 KB Share Document on Facebook

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