The recent financial crisis has accentuated the fact that extreme outcomes have been overlookedand not dealt with adequately. While extreme value theories have existed for a long time, themultivariate variant is difficult to handle in the financial markets due to the prevalentheteroskedasticity...

This paper demonstrates the extensive scope of an alternative to standardinstrumental variables methods, namely covariate-based methods, for identifying and es-timating effects of interest in general structural systems. As we show, commonly usedeconometric methods, speci…cally parametric,...

We consider the modelling of rare events in financial time series,and introduce a marked point process model for the excesses of thetime series over a high threshold that combines a self-exciting processfor the exceedances with a mark (size) dependent process. This allowsrealistic models for...

The Basel Committee on Banking Supervision ("the Committee") released a consultative document that included a regulatory capital charge for operational risk. Since the release of the document, the complexity of the concept of "operational risk" has led to vigorous and recurring discussions. We...

Extreme Value Theory (EVT) has develop ed very rapidly over the past two decades both methodologically and with respect to applications. Whereas (non–life) actuaries have, at least implicitly, used EVT techniques for a long time, mainly through the emergence of quantitative Risk Management, EVT...

In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine di.erent emerging markets. In addition to well-known modeling approaches such as variance-covariance method and historical simulation, we study the extreme value...