The exact extreme value distribution – applied study
نویسندگان
چکیده
منابع مشابه
Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR) October 2007 Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)
Ait-Sahalia and Lo (2000) and Panigirtzoglou and Skiadopoulos (2004) have argued that Economic VaR (E-VaR), calculated under the option market implied risk neutral density is a more relevant measure of risk than historically based VaR. As industry practice requires VaR at high confidence level of 99%, we propose Extreme Economic Value at Risk (EE-VaR) as a new risk measure, based on the General...
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ژورنال
عنوان ژورنال: International Journal of Advanced Statistics and Probability
سال: 2017
ISSN: 2307-9045
DOI: 10.14419/ijasp.v5i2.7834