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Department of Mathematics and Applied Mathematics
Application of extreme value theory to the calculation of value-at-risk
Abstract
dc:description.abstractThe main aim of the study was to test the applicability of published EVT-based VaR calculation methods to the South African market. Two methods were tested on a hypothetical portolio of South African stocks, using the standard backtesting technique.
Degree
thesis:*- Grantor dc:publisher.institution
- Department of Mathematics and Applied Mathematics
- Year dc:date.issued
- 2001
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Seymour, Anthony
- Advisor dc:contributor.advisor
-
- Polakow, Daniel
Rights
- Language dc:language.iso
- eng
Identifiers
dc:identifier.*- Handle dc:identifier.uri
- http://hdl.handle.net/11427/4930
- OAI identifier oai:identifier
- oai:open.uct.ac.za:11427/4930