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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Extreme Value Theory; Value at Risk; Financial Risk Man- agement; Financial Risk Modeling; Financial Time Series.
• Subjects: C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C46 - Specific Distributions ; Specific Statistics; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

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