Master Thesis Online
How does the risk extremes of advanced countries' currencies differ from the risk of extremes of emerging countries' currencies : an extreme value theory approach
Greif, Orlane 
Promotor(s) :
Hambuckers, Julien
Date of defense : 2-Sep-2020/8-Sep-2020 • Permalink : http://hdl.handle.net/2268.2/10725
Details
| Title : | How does the risk extremes of advanced countries' currencies differ from the risk of extremes of emerging countries' currencies : an extreme value theory approach |
| Author : | Greif, Orlane
|
| Date of defense : | 2-Sep-2020/8-Sep-2020 |
| Advisor(s) : | Hambuckers, Julien
|
| Committee's member(s) : | Artige, Lionel
DE KEYN, Fabian |
| Language : | English |
| Number of pages : | 65 |
| Keywords : | [en] Extreme Value Theory [en] Generalized Pareto Distribution [en] Generalized Extreme Value distribution [en] risk measures [en] Block Maxima [en] Peak-Over-Threshold |
| Discipline(s) : | Business & economic sciences > Finance |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[fr] The purpose of this master thesis is to analyze and compare the risk of two different portfolios
of currencies through the application of risk measures. One portfolio is composed of 5
currencies of emerging countries and the other one is composed of 5 currencies of developed
countries. The Extreme Value Theory is applied on the two portfolios using two methods: the Block Maxima Method and the Peak-Over-Threshold method.
File(s)
Document(s)
MasterThesis_OrlaneGreif_Risk_of_extremes_in_portfolios_of_currencies.pdf
Description:
Size: 1.8 MB
Format: Adobe PDF
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The University of Liège does not guarantee the scientific quality of these students' works or the accuracy of all the information they contain.