Extreme Value Theory: An Application to the Peruvian Stock Market Returns
Year of publication: |
2014
|
---|---|
Authors: | Vela, Alfredo Calderon ; Rodríguez, Gabriel |
Institutions: | Departamento de Economía, Pontificia Universidad Católica del Perú |
Subject: | Extreme Value Theory | Value-at-Risk (VaR) | Expected Short-Fall (ES) | Generalized Pareto Distribution (GPD) | Distributions Gumbel | Exponential | FrÈchet | Extreme Loss | Peruvian Stock Market |
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