Value at Risk Calculations, Extreme Events, and Tail Estimation
نویسنده
چکیده
THE JOURNAL OF DERIVATIVES 1 The notion of extreme movements in asset prices is implicit in current risk management practices. Capital adequacy assumes a threshold that classifies observed changes in market risk factors either as extreme or ordinary. A probability is first chosen to measure the “extremeness” of events that may affect a particular portfolio. This probability then determines the proper threshold.
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