Polansky, Alan M.
M.S. (Master of Science)
Department of Statistics
Risk assessment; Financial futures--Econometric models; Risk management--Statistical methods
Value at Risk (VaR) is an important measure used to quantify the level of risk in investments over specied time frame. There are various ways to estimate VaR which including Extreme Value Theory (EVT). This research uses a special kind of extreme value mixture distributions (EVMD). Extreme value mixture models are tted to daily returns from four stock indices, S&P, Euroxx, FSTE100 and Nikkei. VaR was estimated for each index and Kupiec proportion of failure test was used to test for model adequacy.
Akakpo, Rexford M., "Value-at-risk (VaR) estimation with extreme mixture model and backtesting diagnostics" (2016). Graduate Research Theses & Dissertations. 6627.
viii, 66 pages
Northern Illinois University
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