An extreme value theory approach to calculating minimum capital risk requirements

Article English OPEN
Brooks, Chris; Clare, A.D.; Persand, Gitanjali;
(2002)

This paper investigates the frequency of extreme events for three LIFFE futures contracts for\ud the calculation of minimum capital risk requirements (MCRRs). We propose a semiparametric\ud approach where the tails are modelled by the Generalized Pareto Distribution and... View more
Share - Bookmark