Extreme Value Theory: - An evaluation of the Peaks Over Threshold method on the Swedish market -
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
This paper is investigating and evaluating the Peaks Over Threshold method, a quantitative method that can be used for calculating market risk. The method is evaluated with respect to its functionality when calculating Value at Risk (VaR) and Expected Shortfall (ES), on 95, 99 and 99.5 percent confidence levels and on several different financial return series from the Swedish market. Its performance is then compared with three other methods when calculating Value at Risk and Expected Shortfall. These are Historical simulation, Variance-Covariance and Student’s t distribution.
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IdentifiersURN: urn:nbn:se:su:diva-4714OAI: oai:DiVA.org:su-4714DiVA: diva2:194309