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Keywords: EVT
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2006) 14 (1): 25–60.
Published: 31 May 2006
... market risk applying three different approaches, namely, 99% VaR. EVT and the historical time periods when the market exhibited extreme volatility. We found that from six member companies to as many as 16 companies could face settlement failures, which are represented by having the operating-income...
