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Modeling of extreme events and stress testing analysis

Ronny Suarez

ISBN 10: 363924088X / ISBN 13: 9783639240887
Published by VDM Verlag Dr. Müller
New Condition: New Soft cover
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Paperback. 56 pages. Dimensions: 8.7in. x 5.8in. x 0.1in.In this book we estimated value at risk and return level using extreme value theory as an alternative mechanism to generate stress scenarios. The methodology is applied to S and P 500 Index and to dollar euro exchange rate. Additionally, the estimation of a generalized extreme value distribution or a generalized pareto distribution combined with the mixing unconditional disturbances model is developed as a tool that can be used to create values for sensitivity test purpose. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Bookseller Inventory # 9783639240887

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Title: Modeling of extreme events and stress ...

Publisher: VDM Verlag Dr. Müller

Binding: Paperback

Book Condition:New

Book Type: Paperback

About this title

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In this book we estimated value at risk and return level using extreme value theory as an alternative mechanism to generate stress scenarios. The methodology is applied to S&P 500 Index and to dollar / euro exchange rate. Additionally, the estimation of a generalized extreme value distribution or a generalized pareto distribution combined with the mixing unconditional disturbances model is developed as a tool that can be used to create values for sensitivity test purpose.

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