Browsing Student Projects by Subject "Value at risk (VaR)"
Now showing items 1-3 of 3
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Application of extreme value theory (EVT) to the measurement of risk and asset allocation
(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. ... -
Investigation into optimal portfolio allocation of stocks having non - normal returns
(Indian Institute of Management Ahmedabad, 2005)Abstract: 1) Introduction and context description: According to the traditional asset pricing methods, the returns of stocks are assumed to be normally distributed with mean jx and standard deviation o. In these cases, ... -
Value at risk for non normally distributed market variables and incorporating event risk
(Indian Institute of Management Ahmedabad, 2004)The paper present a new method for computing the VaR for a set of fixed income securities based on extreme value theory that models the tail probabilities directly without making any assumption about the distribution of ...