✦ LIBER ✦

Value-at-risk: Applying the extreme value approach to Asian markets in the recent financial turmoil

✍ Scribed by Lan-Chih Ho; Peter Burridge; John Cadle; Michael Theobald

Book ID: 117627790
Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 318 KB
Volume: 8
Category: Article
ISSN: 0927-538X
DOI: 10.1016/s0927-538x(00)00008-1

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

From value at risk to stress testing: Th

From value at risk to stress testing: The extreme value approach

✍ François M Longin 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 486 KB

Erratum to: Effectiveness of copula-extr

Erratum to: Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets

✍ Chun-Pin Hsu, Chin-Wen Huang, Wan-Jiun Paul Chiou 📂 Article 📅 2012 🏛 Springer US 🌐 English ⚖ 81 KB

Clearing margin system in the futures ma

Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data

✍ Chien-Liang Chiu; Shu-Mei Chiang; Jui-Cheng Hung; Yu-Lung Chen 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 435 KB

Extreme observations and risk assessment

Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk

✍ A. Assaf 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 336 KB

The balance space approach in optimizati

The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets

✍ A. Balbás; P.Jiménez Guerra; M.J. Muñoz-Bouzo 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 863 KB

The balance set approach, first introduced in [l, pp. 138-1401, is developed for op timization problems with objective functions taking values in W". As pointed out in [2,3], balance points have important economical interpretations. Since the theory of Riesz spaces and Banach lattices become more an