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Subject
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Ausreißer 1 Measurement 1 Messung 1 Outliers 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risk 1 Risk management 1 Risk measure 1 Theorie 1 Theory 1
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Free 1
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Book / Working Paper 1
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English 1
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Maio, Sebastian 1 Maurette, Manuel 1 macri, pablo 1
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Proceedings of the 2017 MACI 1
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ECONIS (ZBW) 1
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Risk Measurement Using Extreme Values Theory
Maio, Sebastian; macri, pablo; Maurette, Manuel - 2021
Since 2008’s financial crisis, risk management has focused in extreme market movements, i.e. low probability but high impact financial returns. This requires to precisely know the far tails of the probability distribution function underlying the returns’ generation process. Extreme values...
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