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Modeling of extreme events and stress testing analysis

Modeling of extreme events and stress testing analysis

Paperback

Management

ISBN10: 363924088X
ISBN13: 9783639240887
Publisher: Blues Kids Of Amer
Published: Mar 2 2010
Pages: 56
Weight: 0.21
Height: 0.13 Width: 6.00 Depth: 9.00
Language: English
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.

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Management