Value-at-Risk and Extreme Returns
Year of publication: |
1998-02-16
|
---|---|
Authors: | Daníelsson, Jón ; Vries, Casper G. de |
Institutions: | Tinbergen Instituut |
Subject: | Value-at-Risk | Extreme Value Theory | RiskMetrics | Historical Simulation | Tail Density Estimation | Financial Regulation |
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