Empirical Analysis of Value-at-Risk Estimation Methods Using Extreme Value Theory

Empirical Analysis of Value-at-Risk Estimation

Methods Using Extreme Value Theory

佚名

【期刊名称】《系统工程与电子技术（英文版）》 【年(卷),期】2001(012)001

【摘要】This paper investigates methods of value-at-risk (VaR) estimation using extreme value theory (EVT). Itcompares two different estimation methods, 。two-step subsample bootstrap\based on moment estimation and maximumlikelihood estimation (MLE), according to their theoretical bases and computation procedures. Then, the estimationresults are analyzed together with those of normal method

and

empirical

method.

The

empirical

research

of

foreignexchange data shows that the EVT methods have good characters in estimating VaR under extreme conditions and\subsample bootstrap\ 【总页数】9页(13-21) 【关键词】 【作者】佚名

【作者单位】School of Management, Finance Center, Tianjin University,;School of Management, Finance Center, Tianjin University, 【正文语种】中文 【中图分类】N94;FO