Results 241 to 250 of about 1,753,680 (284)
Some of the next articles are maybe not open access.
Extreme Value Theory and Value at Risk [PDF]
Revista de Analisis Economico, 2003 Value at Risk (VaR) is a measure of the maximum potential change in value of a portfolio of financial assets with a given probability over a given time horizon. VaR became a key measure of market risk since the Basle Committee stated that banks should be able to cover losses on their trading portfolios over a ten-day horizon, 99 percent of the time.
openaire +1 more source
Extreme Value Theory and Dependence.
1985Abstract : The purpose of this paper is to give a very brief account of some of the essential ideas underlying classical extreme value theory, and to see how these are used (modified as necessary) for dependent cases. In particular it will be shown how the classical theory still applies for moderately dependent stationary sequences, but that under ...
openaire +1 more source
Approximations in Extreme Value Theory.
1987Abstract : Following a survey of rates of convergence in extreme value theory, a new class of approximations is developed and compared with existing approximations based on the extreme value distributions. Convergence in Hellinger distance is established, this distance measure being chosen because of its statistical applications.
openaire +1 more source