Krahasoni metodat
Shqyrtoni metodat e zgjedhura krah për krah; rreshtat që ndryshojnë janë të theksuar.
| Teoria e Vlerave Ekstreme (EVT)× | Vlera në Rrezik (VaR)× | |
|---|---|---|
| Fusha | Financë | Financë |
| Familja | Regression model | Regression model |
| Viti i origjinës≠ | 2001 | 2007 |
| Krijuesi≠ | Coles (textbook treatment); McNeil, Frey & Embrechts | Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan |
| Lloji≠ | Tail / extreme-event model | Financial risk measure |
| Burimi themelues≠ | Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598 | Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956 |
| Emërtime të tjera | EVT, generalized extreme value, generalized Pareto distribution, peaks over threshold | VaR, value-at-risk, delta-normal VaR, historical simulation VaR |
| Të lidhura | 5 | 5 |
| Përmbledhja≠ | Extreme Value Theory is a statistical framework for modelling the rare events that live in the tail of a probability distribution. As developed in Coles (2001) and applied to risk by McNeil, Frey & Embrechts (2005), it offers two standard routes: the Generalized Extreme Value (GEV) distribution for block maxima and the Generalized Pareto Distribution (GPD), used in the peaks-over-threshold approach, for exceedances above a high threshold. | Value at Risk is a financial risk measure that estimates the maximum loss a position or portfolio could suffer over a fixed holding period at a given confidence level. It is the standard benchmark in risk management and regulatory capital calculations, developed in the textbook tradition of Jorion (2007) and the Basel market-risk framework. |
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