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A comparison of extreme value theory approaches for determining value at risk

Author

Listed:
  • Brooks, C.
  • Clare, A.D.
  • Dalle Molle, J.W.
  • Persand, G.
Abstract
No abstract is available for this item.

Suggested Citation

  • Brooks, C. & Clare, A.D. & Dalle Molle, J.W. & Persand, G., 2005. "A comparison of extreme value theory approaches for determining value at risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 339-352, March.
    • Handle: RePEc:eee:empfin:v:12:y:2005:i:2:p:339-352
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    References listed on IDEAS

    as
    1. Brooks, C. & Clare, A. D. & Persand, G., 2000. "A word of caution on calculating market-based minimum capital risk requirements," Journal of Banking & Finance, Elsevier, vol. 24(10), pages 1557-1574, October.
    2. Broussard, John Paul, 2001. "Extreme-value and margin setting with and without price limits," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 365-385.
    3. Hsieh, David A., 1993. "Implications of Nonlinear Dynamics for Financial Risk Management," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 41-64, March.
    Full references (including those not matched with items on IDEAS)

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