Munich Personal RePEc Archive

Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan

Qayyum, Abdul and Nawaz, Faisal (2010): Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan.

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Abstract

The purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani nancial data. It also in- troduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing nancial models for tail related risk measures.

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