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Danielsson et al., 1997 - Google Patents

Extreme returns, tail estimation, and value-at-risk

Danielsson et al., 1997

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Document ID
11962023761533510131
Author
Danielsson J
de Vries C
Publication year

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Accurate prediction of extreme events are of primary importance in many financial applications. The properties of historical simulation and RiskMetrics techniques for computing Value-at-Risk (VaR) are compared with a method which involves modelling the …
Continue reading at www.fmg.ac.uk (PDF) (other versions)

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
    • G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
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