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Bank of Canada RSS Feedsen2024-03-29T12:24:13+00:00Asset Allocation Using Extreme Value Theory
https://www.bankofcanada.ca/2002/01/working-paper-2002-2/
This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank.2002-01-01T13:05:48+00:00enAsset Allocation Using Extreme Value Theory2002-01-01Financial marketsWorking Paper 2002-2 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-2.pdfAsset Allocation Using Extreme Value TheoryYounes BensalahJanuary 2002CC0C4C5GG1