Extreme market risk and extreme value theory
Year of publication: |
2013
|
---|---|
Authors: | Singh, Abhay K. ; Allen, David E. ; Robert, Powell J. |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 94.2013, C, p. 310-328
|
Publisher: |
Elsevier |
Subject: | Risk modelling | Value at risk | Expected shortfall | Extreme value theory | GARCH |
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