An Application of Extreme Value Theory for Exchange Rate (MNT)

Хэвлэлийн нэр: Эрдэм шинжилгээний бичиг №2/125

Зохиогч:  Ж.Пүрэвсүрэн

Хамтран зохиогч:

Хэвлүүлсэн огноо: 2012-04-20

Хуудас дугаар: 173

Өгүүллийн хураангуй:

Extreme value theory will be introduced, modeling of the asymptotical distribution of extreme events. Statistical methods derived from this theory have been increasingly employed in finance, insurance and other sectors.

This paper aims at introducing the fundamentals of extreme value theory as well as practical aspects for estimating and assessing statistical models and to analyse the use of copulas in financial application, namely to investigate the assumption of asymmetric dependence and to compute some measures of risk. For this purpose I used a portfolio consisting in 4 foreign currencies, gold and silver from Mongol bank information.

Өгүүллийн төрөл: Их сургуулийн эрдэм шинжилгээний бичиг

Өгүүллийн зэрэглэл: Дотоод

Түлхүүр үг: #Log-return exchange rates #Kendall's #Copula #Quantile Estimation #Sperman's #Risk Measures #Generalized Extreme Value Distribution (GEVD) #Extreme Value Theory (EVT) #Generalized Pareto Distribution (GPD)

Өгүүлэл нэмсэн: Ж.Пүрэвсүрэн

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