Implementing a robust risk model for Aouth African equity markets: A peak-over-threshold approach

Mathematics

• Confidence Interval 100%
• Value at Risk 100%
• Risk Model 100%
• Equity Market 100%
• Conditionals 66%
• Risk Measure 66%
• Market Risk 66%
• Bootstrapping 33%
• Parametric 33%
• Quantile 33%
• High Quantile 33%
• Heteroscedasticity 33%
• Backtestings 33%
• Sample Space 33%

Keyphrases

• Expected Shortfall 100%
• Robust Risk 100%
• Downside Risk 50%
• Conditional Heteroscedasticity 25%
• Conditional Coverage 25%
• Daily Returns 25%
• Unconditional Coverage 25%
• Backtesting 25%
• Coverage Test 25%
• Negative Returns 25%
• Negative Model 25%

Economics, Econometrics and Finance

• Stock Exchange 100%