Modeling of extreme events and stress testing analysis (Paperback) (ISBN-13: 9783639240887)

In this book we estimated value at risk and return level using extreme value theory as an alternative mechanism to generate stress scenarios. The methodology is applied to S&P 500 Index and to dollar / euro exchange rate. Additionally, the estimation of a generalized extreme value distribution or a generalized pareto distribution combined with the mixing unconditional disturbances model is developed as a tool that can be used to create values for sensitivity test purpose.

Author: Ronny Suarez
ISBN-10: 363924088X
ISBN-13: 9783639240887
Publisher: VDM Verlag
Language: English
Published: 03/02/2010
Pages: 56
Format: Paperback
Weight: 0.21lbs
Size: 9.00h x 6.00w x 0.13d