Titlebook: Computational Methods in Financial Engineering; Essays in Honour of Erricos J. Kontoghiorghes,Ber? Rustem,Peter Winker Book 2008 Springer-

APO

Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)ow that EE-VaR has fewer violations than historical VaR. Further, there are substantial savings in risk capital with EE-VaR at 99% as compared to historical VaR corrected by a factor of 3 to satisfy the violation bound. The efficiency of EE-VaR arises because an implied VaR estimate responds quickly

Indicative

Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Madvantage in modelling is exploited by the optimization algorithm to identify portfolios with higher expected return given a fixed VaR constraint. However, adjusting the portfolio to the dynamic approximations of the conditional volatility structure also results in some overconfidence with regard to