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Title: Value-at risk under normal assumption and extreme value theory
Authors: Chng, Xun Jin
Lim, Zhi Jun
Yan, Han
Keywords: DRNTU::Business::Accounting
DRNTU::Business::Finance::Risk management
Issue Date: 2006
Abstract: In this paper, we wanted to compare and contrast the VaR estimates under the Normal assumption and the Extreme Value Theory for a selected portfolio of Singapore stocks. The methodologies chosen for the computations are the Variance-Covariance method and Generalised Extreme Value distribution approach. The results of our study over the sample period show us that the VaR estimates under the Extreme Value Theory assumption outperform that of the estimations computed under the Normal assumption.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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