Determining Value at Risk using Extreme Value Theory on a Financial Data Set

Journal
Математички билтен / Matematichki bilten / BULLETIN MATHÉMATIQUE DE LA SOCIÉTÉ DES MATHÉMATICIENS DE LA RÉPUBLIQUE MACÉDOINE
Date Issued
2023-11-28
Author(s)
Stevo Gjorgiev, Aneta Gacovska - Barandovska
DOI
10.37560/matbil23471039gj
Abstract
Extreme value theory has a wide range of applications. The paper
considers application of extreme value theory in the area of nancial ows.
Our data set has been processed using two di erent methods, block maxima
and peak over the threshold method. We compare the obtained results for
the risk measures and draw conclusions on the behavior of the nancial ows
for di erent time intervals.
Subjects

Extreme value theory,...

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