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Extremes in Operational Risk Management

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References

1999Coherent Measures of Risk8,849 cited
1997Modelling Extremal Events4,397 cited
2006Extreme Value Theory1,858 cited
1990The Asymptotic Theory of Extreme Order Statistics1,848 cited
1987Estimating Tails of Probability Distributions627 cited
1997Tail index and quantile estimation with very high frequency data313 cited
1984Threshold Methods for Sample Extremes274 cited
1990On a Basis for 'Peaks Over Threshold' Modeling133 cited
1997The Peaks over Thresholds Method for Estimating High Quantiles of Loss Distributions95 cited
1999Internal Credit Risk Models: Capital Allocation and Performance Measurement69 cited
2002Measuring Risk with Extreme Value Theory33 cited

Cited by

2004Value-at-risk versus expected shortfall: A practical perspective358 cited
2012CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory24 cited

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