managing supply risk using value at risk method based on extreme value theory
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منابع مشابه
high volatility, thick tails and extreme value theory in value at risk estimation: the case of liability insurance in iran insurance company
در این بررسی ابتدا به بررسی ماهیت توزیع خسارات پرداخته میشود و از روش نظریه مقادیر نهایی برای بدست آوردن برآورد ارزش در معرض خطر برای خسارات روزانه بیمه مسئولیت شرکت بیمه ایران استفاده میشود. سپس کارایی نظریه مقدار نهایی در برآورد ارزش در معرض خطر با کارایی سایر روشهای واریانس ، کواریانس و روش شبیه سازی تاریخی مورد مقایسه قرار میگیرد. نتایج این بررسی نشان میدهند که توزیع ،garch شناخته شده مدل...
15 صفحه اولUsing Extreme Value Theory to Estimate Value-at-Risk
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عنوان ژورنال:
پژوهشنامه بازرگانیجلد ۱۷، شماره ۶۶، صفحات ۱۶۱-۱۹۴
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