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Dynamic extreme value theory (DEVT): a dynamic approach for obtaining value-at-risk (VaR).

by Leung Tsun Ip. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2006. / Includes bibliographical references (leaves 72-78). / Abstracts in English and Chinese. / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.6 / Chapter 2.1 --- Development of estimation of Value-at-Risk (VaR) --- p.6 / Chapter 2.2 --- Methods to evaluate VaR --- p.9 / Chapter 2.2.1 --- Non-paremetric Method --- p.9 / Chapter 2.2.2 --- Semi-parametric Method --- p.11 / Chapter 2.2.3 --- Parametric Method --- p.12 / Chapter 3. --- Extreme Value Theory (EVT) --- p.16 / Chapter 3.1 --- Introduction of Extreme Value Theory (EVT) --- p.16 / Chapter 3.1.1 --- Block Maxima Approach --- p.18 / Chapter 3.1.2 --- Peaks over Threshold (POT) Approach --- p.21 / Chapter 3.1.3 --- Comparison between Block Maxima and POT Approach --- p.22 / Chapter 3.2 --- Numerical Illustration --- p.23 / Chapter 3.2.1 --- Data --- p.23 / Chapter 3.2.2 --- Diagnosis --- p.24 / Chapter 4. --- Dynamic Extreme Value Theory (DEVT) --- p.29 / Chapter 4.1 --- Theoretical Framework of DEVT --- p.29 / Chapter 4.2 --- Estimation of Parameters --- p.32 / Chapter 4.3 --- Determination of Threshold Level --- p.37 / Chapter 4.4 --- Estimation of zq --- p.44 / Chapter 5. --- Backtesting and Time Aggregation --- p.49 / Chapter 5.1 --- Backtesting DEVT --- p.49 / Chapter 5.2 --- Time Aggregation --- p.55 / Chapter 6. --- Case Study: China Aviation Oil Singapore (CAO) Incident --- p.61 / Chapter 6.1 --- Background Information --- p.61 / Chapter 6.2 --- Data Analysis --- p.63 / Chapter 6.3 --- Suggestion --- p.68 / Chapter 7. --- Discussion --- p.71 / References --- p.72 / Chapter A. --- Appendix --- p.79

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325476
Date January 2006
ContributorsLeung, Tsun Ip., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, v, 90 leaves : ill. ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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