Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan

Abdul Qayyum and Faisal Nawaz

MPRA Paper from University Library of Munich, Germany

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

Keywords: Extreme Value Theory; Value at Risk; Financial Risk Man- agement; Financial Risk Modeling; Financial Time Series. (search for similar items in EconPapers)
JEL-codes: C46 G32 (search for similar items in EconPapers)
Date: 2010
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Related works:
Journal Article: Measuring financial risk using extreme value theory: evidence from pakistan (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:29288

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