Risk Modeling and Management: An Overview

Feb 3rd, 2012
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University of Kent, Canterbury and Medway
Course: finance
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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.

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