Risk Modeling and Management: An Overview

Feb 3rd, 2012
Studypool Tutor
University of Kent, Canterbury and Medway
Course: finance
Price: $20 USD

Tutor description

This paper is provided as a study guide only, please do not submit this document directly to any university. EVT provides well established statistical models for the computation of extreme risk measures like the Return Level, Value-at-Risk (VaR) and Expected Shortfall. The authors apply Univariate Extreme Value Theory to model extreme market risk for the ASX All Ordinaries Australian index and the S&P500 index. The authors demonstrate that EVT can be successfully applied to financial market return series for predicting static VaR, CVaR, Expected Shortfall (ES) and expected Return Level, and also daily VaR using a GARCH(1,1) model and EVT-based dynamic approach.

Review from student

Studypool Student
" <3 it, thanks for saving me time. "
Ask your homework questions. Receive quality answers!

Type your question here (or upload an image)

1826 tutors are online

Brown University





1271 Tutors

California Institute of Technology




2131 Tutors

Carnegie Mellon University




982 Tutors

Columbia University





1256 Tutors

Dartmouth University





2113 Tutors

Emory University





2279 Tutors

Harvard University





599 Tutors

Massachusetts Institute of Technology



2319 Tutors

New York University





1645 Tutors

Notre Dam University





1911 Tutors

Oklahoma University





2122 Tutors

Pennsylvania State University





932 Tutors

Princeton University





1211 Tutors

Stanford University





983 Tutors

University of California





1282 Tutors

Oxford University





123 Tutors

Yale University





2325 Tutors