作者
Turan G Bali
发表日期
2003/1
期刊
Journal of Business
卷号
76
期号
1
页码范围
83-108
出版商
The University of Chicago Press
简介
This article determines the type of asymptotic distribution for the extreme changes in U.S. Treasury yields. The thintailed Gumbel and exponential distributions are strongly rejected against the fattailed Frechet and Pareto distributions. The empirical results indicate that the volatility of maximal and minimal changes in interest rates declines as timetomaturity rises, yielding a downwardsloping volatility curve for the extremes. The article proposes an extreme value approach to estimating value at risk and shows that the statistical theory of extremes provides a more accurate approach for risk management and value at risk (VaR) calculations than the standard models.
引用总数
学术搜索中的文章
TG Bali - The Journal of Business, 2003