Extreme Risk Forecast for Quantitative Financial Risk Management
Value at Risk (VaR) is one of the key risk measures for quantitative financial risk management. VaR measures extreme risk, which has a small probability but a significant consequence to financial institutions. This thesis develops methods based on an extended extreme value approach to improve the fo...
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| Format: | Thesis |
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Curtin University
2022
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| Online Access: | http://hdl.handle.net/20.500.11937/89362 |