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http://hdl.handle.net/11718/20755| Title: | Application of extreme value theory (EVT) to the measurement of risk and asset allocation |
| Authors: | Sharma, Mrinal P., Phanindra |
| Keywords: | Extreme value theory (EVT);Risk Management;Stock market returns;NIFTY;Value at risk (VaR) |
| Issue Date: | 2005 |
| Publisher: | Indian Institute of Management Ahmedabad |
| Series/Report no.: | SP;001118 |
| Abstract: | This paper is an attempt to understand the application of Extreme value theory to risk management. We attempt to model extreme stock market returns (the NIFTY stock index in particular) as a Generalized Pareto Distribution. We use this distribution to estimate a parametric VAR with various confidence intervals for a daily time period. We then compare this value with a historical simulation VAR. |
| URI: | http://hdl.handle.net/11718/20755 |
| Appears in Collections: | Student Projects |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| SP_2005_1118.pdf Restricted Access | 618.88 kB | Adobe PDF | View/Open Request a copy |
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