Conditional VaR using EVT - Towards a planned margin scheme

By Malay Bhattacharyya, Gopal Ritolia. 2008

64 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ff47a584a8ce733c208969c4c6665e96e10b4565

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In Economics and Econometrics

1. Pilar Abad
2. Carmen López
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1. Pilar Abad
2. Carmen López
3. Sonia Benito

Citations in the corpus

• A comprehensive review of Value at Risk methodologies (2014, methodology): “Finally, concerning the Hill index, some authors used the mentioned estimator, such as Bao et al. (2006), whereas others such as Bhattacharyya and Ritolia (2008) used a modified Hill estimator.”