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.

In this paper we use high-frequency multivariate data and attempt to model the joint distribution (dependence structure) of daily KSE-100 returns, S&P 500 and SSE 180 index. We compute portfolio Value at Risk (VaR) using Archimedean copula for three multivariate models, which were used to model...

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