Extreme Value Theory and Bootstrap Approach for Robust Value at Risk Estimation under Basel II

@inproceedings{HOMOLKA2012ExtremeVT,
  title={Extreme Value Theory and Bootstrap Approach for Robust Value at Risk Estimation under Basel II},
  author={LUBOR HOMOLKA},
  year={2012}
}
  • LUBOR HOMOLKA
  • Published 2012
Banking legislature allows banks to use internal models to estimate risk metrics such a Value at Risk (VaR). These metrics indirectly determine regulatory capital needed to be held for different kinds of risks. The article aims to make a comparison of classic methods (historical simulation and bootstrap approach) allowed in Basel II framework to Extreme… CONTINUE READING