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98-017/2 - Value-at-Risk and Extreme Returns


  • Authors
    Jón Daníelsson, London School of Economics, University of Iceland; Casper G. de Vries, Erasmus University Rotterdam
  • Publication date
    February 16, 1998
  • Keywords
    Value-at-Risk; Extreme Value Theory; RiskMetrics; Historical Simulation; Tail Density Estimation; Financial Regulation