Application of extreme value theory to the calculation of value-at-risk
Master Thesis
2001
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University of Cape Town
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Abstract
The main aim of the study was to test the applicability of published EVT-based VaR calculation methods to the South African market. Two methods were tested on a hypothetical portolio of South African stocks, using the standard backtesting technique.
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Includes bibliographical references.
Reference:
Seymour, A. 2001. Application of extreme value theory to the calculation of value-at-risk. University of Cape Town.