Measuring financial risk using extreme value theory: evidence from pakistan

Abdul Qayyum and Faisal Nawaz ()
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Faisal Nawaz: COMSATS Institute of Information Technology, Attock

Economics Bulletin, 2011, vol. 31, issue 1, A2

Abstract: The purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani financial data. It also introduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing financial models for tail related risk measures.

Keywords: Extreme Value Theory; Value at Risk; Financial Risk Management; Financial Risk Modeling; Financial Time Series. (search for similar items in EconPapers)
JEL-codes: C3 C5 (search for similar items in EconPapers)
Date: 2011-01-04
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http://www.accessecon.com/pubs/EB/2011/Volume31/EB-11-V31-I1-A2.pdf (application/pdf)

Related works:
Working Paper: Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-10-00805

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