Browsing by Author "P., Phanindra"

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Application of extreme value theory (EVT) to the measurement of risk and asset allocation

Sharma, Mrinal; P., Phanindra (Indian Institute of Management Ahmedabad, 2005)

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. ...