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- W2270522634 abstract "As an integrated method to measure finance risks, value-at-risk(VaR) has been investigated widely in recent years. This paper introduces a new model to compute VaR--Extreme Value Theory(EVT). It gives parametric estimations of the tail distribution by means of second order expansion. A procedure and program named two step subsample bootstrap was developed to find the start point of extreme and to estimate VaR. The computation result of JPY/USD foreign exchange presented at last proved that the EVT method has a good character in estimating VaR." @default.
- W2270522634 created "2016-06-24" @default.
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- W2270522634 date "2000-04-19" @default.
- W2270522634 modified "2023-09-24" @default.
- W2270522634 title "A New Method to Compute Value-at-Risk: Extreme Value Theory" @default.
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