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
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325476 |
| Date | January 2006 |
| Contributors | Leung, Tsun Ip., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, v, 90 leaves : ill. ; 30 cm. |
| Rights | Use 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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