traditional empirical distribution function as estimator to make it more robust. Using resultsfrom extreme value theory, we …

is modelled using extreme value theory and the joint density of hedge fund index returns is constructed using a copula …

higher tail index, indicative of more extreme events. The main conclusion is that, in the analysed period, only extreme value … theory based models provide a reasonable degree of safety while widespread VaR models do not provide adequate risk coverage …

Extreme value theory is concerned with the study of the asymptotical distribution of extreme events, that is to say … present study is twofold. The first part delivers a critical review of the theoretical underpinnings of extreme value theory …. The second part provides a survey of some major applications of extreme value theory to finance, namely its use to test …

for single and multi-period settings. These measures underpinned by extreme value theory are statistically robust …

face of speculative attack is examined using Extreme Value Theory to obtain estimates of tail exchange rate changes. The …