Anwendung der Extremwerttheorie zur Quantifizierung von Marktpreisrisiken – Test der Relevanz anhand vergangener Extrembelastungen von DAX und MSCI Europe
Year of publication: |
2011
|
---|---|
Authors: | Pohl, Michael |
Published in: |
Kredit und Kapital. - ISSN 1865-5734. - Vol. 44.2011, 2, p. 243-278
|
Publisher: |
Berlin : Duncker & Humblot |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Article |
Language: | German |
Other identifiers: | 10.3790/kuk.44.2.243 [DOI] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C16 - Specific Distributions ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice ; G15 - International Financial Markets |
Source: |
-
Using Extreme Value Theory to Measure Value-at-Risk for Daily Electricity Spot Prices
Chan, Kam Fong, (2009)
-
A theory of scenario generation
Schneider, Paul, (2019)
-
Pohl, Michael, (2011)
- More ...
-
Pohl, Michael, (2010)
-
Analyse offener Produkt- und Dienstleistungsarchitekturen im Fondsgeschäft
Pohl, Michael, (2007)
-
Das bankbetriebliche Reputationsrisikomanagement und dessen Umsetzung
Pohl, Michael, (2008)
- More ...