A comparison of value at risk approaches and a new method with extreme value theory and kernel estimator.

Title: A comparison of value at risk approaches and a new method with extreme value theory and kernel estimator.
Identifier: AAI3204964
identifier: 3204964
Creator: Huang, Yi-Hou.
Contributor: Adviser: Salih N. Neftci
Date: 2006
Language: English
Publisher: City University of New York.
Subject: Economics, Finance | Economics, Theory
Abstract: This paper provides an overview of developments, methodologies, and applications of Value at Risk (VaR). Various key methodologies of VaR estimation and evaluation are discussed and compared. A new approach with extreme value theory (EVT) and kernel estimator technique is proposed. The empirical study utilizing a sample of portfolios and stocks for more than 13 years data shows that the new EVT with kernel estimator approach outperforms other existing methods.
Type: dissertation
Source: PQT Legacy CUNY.xlsx
degree: Ph.D.

Media: A comparison of value at risk approaches and a new method with extreme value theory and kernel estimator.