Can I read VaR Using EVT Approach on EtoBox?

VaR Using EVT Approach by José Luis Alba is a document available to read on EtoBox.

What is VaR Using EVT Approach about?

This document discusses the application of Extreme Value Theory (EVT) to estimate Value at Risk (VaRα) with an unknown shape parameter, focusing on threshold selection and confidence interval width. It proposes a method for assessing the confidence interval of the VaRα estimator by propagating uncertainty from the shape parameter, demonstrating optimal threshold selection based on empirical evidence. The study includes data from S&P 500 companies and presents results indicating a relationship between the co

Author

José Luis Alba

Language

EN