Open AccessPerformance Analysis of VaR and ES Based on Extreme Value Theory
Author(s) -
Sung-Chil Yeo
Publication year - 2006
Publication title -
communications for statistical applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.326
H-Index - 6
eISSN - 2383-4757
pISSN - 2287-7843
DOI - 10.5351/ckss.2006.13.2.389
Subject(s) - extreme value theory , value at risk , econometrics , value (mathematics) , expected shortfall , computer science , mathematics , statistics , risk management , economics , finance