Extreme Value Theory for Tail-Related Risk Measures

This paper introduces the fundamentals of extreme value theory as well as practical aspects for estimating and assessing statistical models for tail-related risk measures.

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Year of publication:	2000-10-01
Authors:	Kellezi, Evis ; Gilli, Manfred
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Value at Risk \| Stochastik \| Risikoverteilung \| Risikotheorie \| Risikokennzahl \| Generalized Pareto Distribution

Table of Contents
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1. Introduction
2. Risk Measures
3. Extreme Value Theory
4. Modeling the fat tails of stock returns
5. Concluding remarks

Persistent link: https://www.econbiz.de/10005843224