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On Mathematical Models of Extreme Values Probabilities Mixtures

Author

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  • Shchetinin, Eugene
  • Nazarenko, Kirill

Abstract

A new mathematical model of extreme values probability mixture is proposed in the paper. Effective computational algorithms for modeling probability mixture and value at risk (VaR) capital estimation are developed and rigorously proved. Comparative analysis of VaR-estimation with threshold and mixture models based on the Dow Jones historical data (01.01.1950 – 10.08.2005) has shown a high effectiveness of the last one for risk capital estimation of an issuing company

Suggested Citation

  • Shchetinin, Eugene & Nazarenko, Kirill, 2007. "On Mathematical Models of Extreme Values Probabilities Mixtures," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 7(3), pages 44-52.
    • Handle: RePEc:ris:apltrx:0141
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    More about this item

    Keywords

    VaR; risk capital estimation;

    JEL classification:

    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • Q32 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Exhaustible Resources and Economic Development

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