Application of extreme value theory to the calculation of value-at-risk

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dc.contributor.advisorPolakow, Danielen_ZA
dc.contributor.authorSeymour, Anthonyen_ZA
dc.date.accessioned2014-07-31T08:10:57Z
dc.date.available2014-07-31T08:10:57Z
dc.date.issued2001en_ZA
dc.descriptionIncludes bibliographical references.
dc.description.abstractThe 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.en_ZA
dc.identifier.apacitationSeymour, A. (2001). <i>Application of extreme value theory to the calculation of value-at-risk</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4930en_ZA
dc.identifier.chicagocitationSeymour, Anthony. <i>"Application of extreme value theory to the calculation of value-at-risk."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2001. http://hdl.handle.net/11427/4930en_ZA
dc.identifier.citationSeymour, A. 2001. Application of extreme value theory to the calculation of value-at-risk. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Seymour, Anthony AB - 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. DA - 2001 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2001 T1 - Application of extreme value theory to the calculation of value-at-risk TI - Application of extreme value theory to the calculation of value-at-risk UR - http://hdl.handle.net/11427/4930 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4930
dc.identifier.vancouvercitationSeymour A. Application of extreme value theory to the calculation of value-at-risk. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2001 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4930en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematics and Applied Mathematicsen_ZA
dc.titleApplication of extreme value theory to the calculation of value-at-risken_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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