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Application of extreme value theory to the calculation of value-at-risk
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867614310233014272 |
|---|---|
| access_status_str | Open Access |
| author | Seymour, Anthony |
| author2 | Polakow, Daniel |
| author_browse | Polakow, Daniel Seymour, Anthony |
| author_facet | Polakow, Daniel Seymour, Anthony |
| author_sort | Seymour, Anthony |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4930 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:50:00.621Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4930 Application of extreme value theory to the calculation of value-at-risk Seymour, Anthony Polakow, Daniel Mathematics and Applied Mathematics Includes bibliographical references. The main aim of the study was to test the applicability of published EVT-based VaR calculation methods to the South African market. Two methods were tested on a hypothetical portolio of South African stocks, using the standard backtesting technique. 2014-07-31T08:10:57Z 2014-07-31T08:10:57Z 2001 Master Thesis Masters M http://hdl.handle.net/11427/4930 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics and Applied Mathematics Seymour, Anthony Application of extreme value theory to the calculation of value-at-risk |
| thesis_degree_str | Master's |
| title | Application of extreme value theory to the calculation of value-at-risk |
| title_full | Application of extreme value theory to the calculation of value-at-risk |
| title_fullStr | Application of extreme value theory to the calculation of value-at-risk |
| title_full_unstemmed | Application of extreme value theory to the calculation of value-at-risk |
| title_short | Application of extreme value theory to the calculation of value-at-risk |
| title_sort | application of extreme value theory to the calculation of value at risk |
| topic | Mathematics and Applied Mathematics |
| url | http://hdl.handle.net/11427/4930 |
| work_keys_str_mv | AT seymouranthony applicationofextremevaluetheorytothecalculationofvalueatrisk |