Publication Date

2016

Document Type

Dissertation/Thesis

First Advisor

Polansky, Alan M.

Degree Name

M.S. (Master of Science)

Department

Department of Statistics

LCSH

Risk assessment||Financial futures--Econometric models||Risk management--Statistical methods

Abstract

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.

Comments

Advisors: Alan M. Polansky.||Committee members: Sanjib Basu; Michelle Xia.||Includes bibliographical references.||Includes illustrations.

Extent

viii, 66 pages

Language

eng

Publisher

Northern Illinois University

Rights Statement

In Copyright

Rights Statement 2

NIU theses are protected by copyright. They may be viewed from Huskie Commons for any purpose, but reproduction or distribution in any format is prohibited without the written permission of the authors.

Media Type

Text

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