DETERMINING VALUE AT RISK USING EXTREME VALUE THEORY ON A FINANCIAL DATA SET

Authors

  • Stevo Gjorgiev Ss. Cyril and Methodius University in Skopje image/svg+xml Author
  • Aneta Gacovska-Barandovska Ss. Cyril and Methodius University in Skopje image/svg+xml Author

DOI:

https://doi.org/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 financial flows. Our data set has been processed using two different 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 financial flows for different time intervals.

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Published

2024-07-11

Issue

Vol. 47 No. 1 (2023): 47 (LXXIII) 1 (2023)

Section

Articles

License

Copyright (c) 2023 Matematichki Bilten

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

[1]
S. Gjorgiev and A. Gacovska-Barandovska, “DETERMINING VALUE AT RISK USING EXTREME VALUE THEORY ON A FINANCIAL DATA SET”, Mat. Bilt., vol. 47, no. 1, pp. 39–48, Jul. 2024, doi: 10.37560/matbil23471039gj.