2002•Wiley series in probability and statisticsRequires access
Extreme Values, Quantile Estimation, and Value at Risk
Ruey S. Tsay
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Abstract
Chapter Seven discusses Value at Risk and various methods for calculating VaR. The methods discussed include RiskMetrics, GARCH modeling, quantile estimation, and extreme value theory. In particular, both unconditional and conditional extreme value theories are discussed and used to calculate VaR. Model checking procedures are introduced for extreme value analysis.