On Mathematical Models of Extreme Values Probabilities Mixtures

Eugene Shchetinin and Kirill Nazarenko

Applied Econometrics, 2007, vol. 7, issue 3, pages 44-52

Abstract: A new mathematical model of extreme values probability mixture is proposed in the paper. Effective computational algorithms for modeling probability mixture and value at risk (VaR) capital estimation are developed and rigorously proved. Comparative analysis of VaR-estimation with threshold and mixture models based on the Dow Jones historical data (01.01.1950 – 10.08.2005) has shown a high effectiveness of the last one for risk capital estimation of an issuing company

Keywords: VaR; risk capital estimation (search for similar items in EconPapers)
JEL-codes: E22 E31 O13 Q32 (search for similar items in EconPapers)
Date: 2007
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