Suaiso, Jose Oliver Q.; Mapa, Dennis S. - In: Philippine Review of Economics 46 (2009) 2, pp. 91-121
The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutions to develop value-at-risk (VaR)models to measure market risk. In this paper, two VaR models are considered using the peaks-over-threshold (POT) approach of the extreme value theory (EVT) : (1)...