Extreme Value Theory and Value at Risk: Application to OPEC Market by mahtab mehrasa, Teymour Mohamadi

Subjects: “…extreme value theory…”
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Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation by Ghlamreza Keshavarz-Haddad, Mohammad Amin Zabol

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Estimation of Optimal Investment Portfolio Using Value at Risk (VaR) and Expected Shortfall (ES) Models: GARCH-EVT-Copula Approach by Reza Taleblou, mohammad mahdi davoudi

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Comparison of EVT Approach with Other Methods of Measuring Market Risk (VAR) in the Context of the Backtesting and Kupiec Test: Implications for Market Risk Management of Financial... by Reza Taleblou, mohammad mahdi davoudi

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Wavelet based Filtered historical simulation in different time horizons in Tehran Stock Exchange by Javad Shekarkhah, Meysam Amiri, vahid vaisizadeh

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Modeling Insurance Claim Distribution via Mixture Distribution and Copula by Saeed Bajalan, Reza Raei, Shapour Mohammadi

“…<br />Special type of distribution which is a mixture of Generalized Hyperbolic Skew t distribution and Extreme Value theory (EVT) has been used for modeling marginal distributions of claims and copula function has been considered as a means of modeling dependency structure among claims. …”
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Calculation of Value at Risk of Currency Portfolio for a Typical Bank by GARCH-EVT-Copula Method by Hossein Raghfar, Narges Ajorlo

“…It also utilizes extreme value theory or the fat-tailed distributions and Coppola functions for all asset returns in an asset portfolio. …”
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