Browsing Institutt for matematiske fag by Author "Malafosse, Thibaut"
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The use of extreme value statistics for calculating risk measures in finance
Malafosse, Thibaut (Master thesis, 2018)Whatever his strategy is, an investor has to know the risk he will deal with in taking a short or long position on an asset or a derivative. On the financial market, the Value at Risk is one of the values used to evaluate ...