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EXTREME VALUE THEORY AND APPLICATIONS TO FINANCIAL MARKET

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EXTREME VALUE THEORY AND APPLICATIONS TO FINANCIAL MARKET

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. NATIONAL UNIVERSITY UNIVERSITY OF SCIENCE FACULTY OF MATHEMATICS, MECHANICS AND INFORMATICS Dao Minh Phuong EXTREME VALUE THEORY AND APPLICATIONS TO FINANCIAL MARKET Undergraduate Thesis Advanced. NATIONAL UNIVERSITY UNIVERSITY OF SCIENCE FACULTY OF MATHEMATICS, MECHANICS AND INFORMATICS Dao Minh Phuong EXTREME VALUE THEORY AND APPLICATIONS TO FINANCIAL MARKET Undergraduate Thesis Advanced

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Mục lục

  • Extreme Value Theory

    • Introduction

    • Block Maxima method

      • Limiting Behavior of Maxima and Extrema

      • Fisher- Tippett Theorem (1928)

      • The Peaks- over- Thresholds (POT) method

        • The Generalized Pareto Distribution (GPD)

        • The POT method

        • Pickands- Balkema- de Hann theorem

        • Applications: Some theoretical computations

          • Block Maxima Method

            • Maximum Likelihood Estimation

            • Hill estimator

            • Value at Risk

            • Block Maxima Method Approach to VaR

            • Multiperiod VaR

            • Return Levels

            • The POT method

              • The selection of threshold u

              • Expected Shortfall

              • POT method approach to VaR and Expected Shorfall

              • Applications: Empirical computations

                • Stock market

                • Case study: the Crash in 1987

                • Risk measure computations using R: case study for Coca-Cola stock

                  • Block Maxima Method

                  • POT method

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