Tail risk: Extreme forex moves What is the appropriate statistical description of tail risk in a market portfolio? In the context of forex, the authors address this problem using extreme value theory.
| Year of publication: |
2003
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|---|---|
| Authors: | Blum, Peter ; Dacorogna, Michel |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 16.2003, 2, p. 63-66
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