Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021
apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock … better distribution than the generalized extreme value (GEV) in estimating extreme loses and that the computation of economic … capital using Glue-value-at-risk (VaR) is more conservative than using other risk measures under the GEV distribution. …