An Extreme Value Theory Approach to Calculating Minimum Capital Risk Requirements
نویسندگان
چکیده
منابع مشابه
An extreme value theory approach to calculating minimum capital risk requirements
This paper investigates the frequency of extreme events for three LIFFE futures contracts for the calculation of minimum capital risk requirements (MCRRs). We propose a semiparametric approach where the tails are modelled by the Generalized Pareto Distribution and smaller risks are captured by the empirical distribution function. We compare the capital requirements form this approach with those...
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ژورنال
عنوان ژورنال: The Journal of Risk Finance
سال: 2002
ISSN: 1526-5943
DOI: 10.1108/eb043485