Extreme Value Theory for Tail-Related Risk Measures
AbstractMany fields of modern science and engineering have to deal with events which are rare but have significant consequences. Extreme value theory is considered to provide the basis for the statistical modeling of such extremes. The potential of extreme value theory applied to financial problems has only been recognized recently. This paper aims at introducing 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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Bibliographic InfoPaper provided by International Center for Financial Asset Management and Engineering in its series FAME Research Paper Series with number rp18.
Date of creation: Oct 2000
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Extreme Value Theory; Generalized Pareto Distribution; Generalized Extreme Value Distribution; Quantile Estimation; Risk Measures; Maximum Likelihood Estimation; Profile Likelihood Confidence Intervals.;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
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