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Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/12194

Title: QUANTIFYING ECONOMIC RISK: AN APPLICATION OF EXTREME VALUE THEORY FOR MEASURING FIRE OUTBREAKS FINANCIAL LOSS
Authors: Barnes, Benedict
Owusu-Ansah, Emmanuel De-Graft Johnson
Donkoh, Elvis Kobina
Appau, James
Effah, Benjamin
et. al
Keywords: Extreme value theory
Quantifying economic risk
Financial loss
Fire outbreaks
Issue Date: 11-Sep-2019
Publisher: Financial Mathematics and Applications
Citation: Financial Mathematics and Applications Volume 4 Issue 1(2019), Pages 1-12.
Abstract: Abstract. Using nancial losses data as a result of re breakout, this paper models the distribution of the events loss probability and estimates the various quantiles and the tail distribution of the available data. The paper also models the extreme through maximum threshold to obtain useful measurements of the Value at Risk (VaR) and the Expected Short-Fall (ES) at 90%, 95%, 98% and 99%. Notably, the study shows, the Value at Risk at 99% is GHS 30,239,067 with Expected Shortfall of GHS 28,891,466. The return level for 5 years and 50 years were all found to be in excess of GHS 30 million.
Description: An article published by Financial Mathematics and Applications
URI: http://hdl.handle.net/123456789/12194
Appears in Collections:College of Science

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