Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan

The purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani nancial data. It also in- troduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing nancial models for tail related risk measures.

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Year of publication:	2010
Authors:	Qayyum, Abdul ; Nawaz, Faisal
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Extreme Value Theory \| Value at Risk \| Financial Risk Man- agement \| Financial Risk Modeling \| Financial Time Series

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	c46 ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008866149