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Title: Value at risk : extreme value theory and stress testing
Authors: Lu, Duowei
Zhang, Jianying
Lim, Khee Siang
Keywords: DRNTU::Business::Finance::Risk management
Issue Date: 2001
Abstract: In this paper, we tap on some ideas and approaches described by Kellezi and Gilli (2000) and present data analysis on 10 market indexes, covering major, developed and emerging financial markets.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

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