• DocumentCode
    2554286
  • Title

    Analysis of Value at Risk on CSI 300 index via Extreme Value Theory

  • Author

    Ding, Sheng

  • fYear
    2010
  • fDate
    16-18 April 2010
  • Firstpage
    426
  • Lastpage
    429
  • Abstract
    Value at Risk (VaR) is a widely used tool in risk management. It is the most important method to measure market risk. In this paper we use Extreme Value Theory (EVT) method to calculate VaR compared with Variance-Covariance method, and then apply empirical analysis on CSI 300 index. The results show that using EVT method always acquires more accurate VaR under extreme conditions.
  • Keywords
    covariance analysis; financial management; risk management; CSI 300 Index via extreme value theory; EVT; VaR; extreme value theory; risk management; value at risk analysis; variance covariance method; Analysis of variance; Distribution functions; Frequency; Gaussian distribution; History; Mathematics; Random variables; Reactive power; Risk analysis; Risk management; CSI 300 index; Extreme Value Theory; Value at Risk; Variance-Covariance;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Information Management and Engineering (ICIME), 2010 The 2nd IEEE International Conference on
  • Conference_Location
    Chengdu
  • Print_ISBN
    978-1-4244-5263-7
  • Electronic_ISBN
    978-1-4244-5265-1
  • Type

    conf

  • DOI
    10.1109/ICIME.2010.5478093
  • Filename
    5478093
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2554286