Comparison Value at Risk with Extreme Value Theory

被引：0

作者：

Zelinkova, Katerina ^{[1
]}

机构：

[1] VSB TU Ostrava, Fac Econ, Dept Management, Ostrava 70121, Czech Republic

来源：

FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 9TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PTS I-III | 2013年

关键词：

Normal distribution; Student distribution; Value at Risk; Extreme Value Theory;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper is focus on comparison of aproach Value at Risk and Conditional Value at Risk method by assuming normal distribution and Student distribution and Extreme Value Theory by assuming Pareto distribution. The structure of this paper is following. Firstly, the method Value at Risk and Conditional Value at risk for normal and Student distribution is explained and subsequently Extreme Value Theory. There are estimated value of given probability distribution and Extreme Value Theory. The data for determination of risk are four stock market indices (CAC 40, ATX, AEX a DAX).

引用

页码：1090 / 1097

页数：8

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