The choice of the distribution of asset returns: how extreme value theory can help?
Article Abstract:
The usage of extreme value theory for identifying the optimal distribution of asset returns is discussed based on the equity data from US market.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2005
Analysis, Return on investment, Rate of return
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2005
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Bank loan losses-given-default: a case study
Article Abstract:
A study is conducted using mortality analysis to analyze the timing of recoveries on bad and doubtful bank loans.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
Venture Analysis, Risk assessment, Risk factors, Bank loans
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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From value at risk to stress testing: The extreme value approach
Article Abstract:
Extreme value theory was used to compute the value at risk of a market position.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2000
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2000
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Subjects list: Usage, France, Extreme value theory
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