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Book/Article Detail


 
Reading Title:
Reading Author(s):
 
 
Book Title:
Book Author(s):
Chapter:
7
Page Range:
189-207
Total Pages:
19
 
 
Publisher:
Publication Year:
2005
Language:
English
 
 
 
 
FRM Paid Candidate Price:         US$6.00
Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:             US$7.00
 
* Order print copy for an additional US$2.00 + shipping & handling (select at checkout)
 
 
 
 
Quantitative Level:
Basic
 
 
Keywords:
 
 
Topics Covered:
Market risk, quantitative analysis, generalized extreme value theory (EVT), estimation of EVT parameters, peaks-over-threshold approach, generalized Pareto distribution
 
 
Reading Abstract:
*** Excerpt from book *** This chapter provides an overview of EV theory, and of how it can be used to estimate measures of financial risk. As with earlier chapters, we will focus mainly on the VaR (and to a lesser extent, the ES) to keep the discussion brief, but the approaches considered here extend naturally to the estimation of other coherent risk measures as well. The chapter itself is divided into four sections. Sections 7.1 and 7.2 discuss the two main branches of univariate EV theory, section 7.3 discusses some extensions to, including multivariate EVT, and section 7.4 concludes.
 
 
Reading Contents:
7.1 Generalised extreme-value theory
7.2 The peaks-over-threshold approach: the generalised Pareto distribution
7.3 Refinements to EV approaches
7.4 Conclusions
 
 
 
 
Book Review:
*** From the publisher ***

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&As and case studies. The accompanying CD-ROM includes a Measuring Market Risk toolbox, with about 150 risk measurement functions, a manual and a selection of Excel workbooks illustrating basic risk measurement functions.
 



 
   
GARP Digital Library