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Kimera Naradh, Retius Chifurira, Knowledge Chinhamu
Pág. 120 - 131
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Retius Chifurira,Knowledge Chinhamu
AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that b...
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Knowledge Chinhamu, Chun-Kai Huang, Chun-Sung Huang, Delson Chikobvu
Extreme value theory (EVT) has been widely applied in fields such as hydrology and insurance. It is a tool used to reflect on probabilities associated with extreme, and thus rare, events. EVT is useful in modeling the impact of crashes or situations of e...
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Chun-Kai Huang, Knowledge Chinhamu, Chun-Sung Huang, Jahvaid Hammujuddy
South Africa is a cornucopia of mineral riches and the performance of its mining industry has significant impacts on the economy. Hence, an accurate distributional assumption of the underlying mining index returns is imperative for the forecasting and un...
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