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 |
| _version_ | 1848765207361355776 |
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| author | Zhang, Lequn |
| author_facet | Zhang, Lequn |
| author_sort | Zhang, Lequn |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 forecast skill of VaR. The proposed methods improve the forecasting accuracy, robustness, efficiency and outperform the existing methods in the literature. |
| first_indexed | 2025-11-14T11:31:35Z |
| format | Thesis |
| id | curtin-20.500.11937-89362 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:31:35Z |
| publishDate | 2022 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-893622022-09-27T01:39:10Z Extreme Risk Forecast for Quantitative Financial Risk Management Zhang, Lequn 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 forecast skill of VaR. The proposed methods improve the forecasting accuracy, robustness, efficiency and outperform the existing methods in the literature. 2022 Thesis http://hdl.handle.net/20.500.11937/89362 Curtin University fulltext |
| spellingShingle | Zhang, Lequn Extreme Risk Forecast for Quantitative Financial Risk Management |
| title | Extreme Risk Forecast for Quantitative Financial Risk Management |
| title_full | Extreme Risk Forecast for Quantitative Financial Risk Management |
| title_fullStr | Extreme Risk Forecast for Quantitative Financial Risk Management |
| title_full_unstemmed | Extreme Risk Forecast for Quantitative Financial Risk Management |
| title_short | Extreme Risk Forecast for Quantitative Financial Risk Management |
| title_sort | extreme risk forecast for quantitative financial risk management |
| url | http://hdl.handle.net/20.500.11937/89362 |