<t> I have attempted to develop a VaR model using Peaks over Threshold method (a branch of EVT)I have monthly hedge fund index returns and have computed the VaR but the difference at the 95 and 99 c.l seems negligible which has raised my concerns that i have done something wrong. I have then adopted...

<t>I have attempted to develop a VaR model which assumes (Normal distribution). I have monthly hedge fund index returns and i have used a standard approach using a rolling window of 36 months to attain the desired parameters (total number of observations for each index 176). I have then adopted the ...