Andere Kunden interessierten sich auch für
![Modeling the Volatility of Share Price Returns of Firstbank of Nigeria]( "Modeling the Volatility of Share Price Returns of Firstbank of Nigeria")
Modeling the Volatility of Share Price Returns of Firstbank of Nigeria36,99 €![Relating Price Model Assumptions to Decisions]( "Relating Price Model Assumptions to Decisions")
Relating Price Model Assumptions to Decisions44,99 €![Modeling and forecasting Daily stock Returns of GT Bank Nigeria plc]( "Modeling and forecasting Daily stock Returns of GT Bank Nigeria plc")
Modeling and forecasting Daily stock Returns of GT Bank Nigeria plc36,99 €![Time Series Analysis on Price and rainfall pattern of Bahir Dar, Ethiopia]( "Time Series Analysis on Price and rainfall pattern of Bahir Dar, Ethiopia")
Time Series Analysis on Price and rainfall pattern of Bahir Dar, Ethiopia32,99 €![Methodological Models for Optimal Control of Marine Oil Spill]( "Methodological Models for Optimal Control of Marine Oil Spill")
Methodological Models for Optimal Control of Marine Oil Spill19,99 €![Econometric modeling of price volatility of agricultural commodities]( "Econometric modeling of price volatility of agricultural commodities")
Econometric modeling of price volatility of agricultural commodities26,99 €![STOCK PRICE PREDICTION USING TIME SERIES]( "STOCK PRICE PREDICTION USING TIME SERIES")
STOCK PRICE PREDICTION USING TIME SERIES29,99 €
Crude oil markets are highly volatile and risky. Extreme Value Theory (EVT), an approach to modelling and estimating risks under rare events, has seen a more prominent role in risk management in recent years. This Book presents an application of EVT to the daily returns of Brent crude oil prices in the spot market between 1987 and 2009. We focus on the peak over threshold method by analysing the generalized Pareto distributed exceedances over some high threshold. This method provides an effective means for estimating tail risk measures specifically, Value-at-Risk (VaR) and Expected Shortfall (ES). The estimates of these risk measures computed under high quantile ie, at the 99th quantile provides the estimates of VaR approximately as 8.1% and 8.0% for daily positive and negative returns, respectively. The estimates for expected shortfall are 12.3% and 10.7% for daily positive and negative returns, respectively.