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EVT-based estimation of risk capital and convergence of high quantiles
16 references·1 citing·28 second hop
EVT-based estimation of risk capital and convergence of high quantiles (2008)EVT-based estimation of risk capital and …The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (2007)The Quantitative Modeling of …A Sturdy Reduced-Bias Extreme Quantile ( VaR ) Estimator (2007)A Sturdy Reduced-Bias Extreme…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Heavy-Tail Phenomena: Probabi…Extreme Value Theory : An Introduction (2006)Extreme Value Theory : An Int…Extreme value theory : an introduction (2006)Extreme value theory : an int…A Tale of Tails: An Empirical Analysis of Loss Distribution Models for Estimating Operational Risk Capital (2006)A Tale of Tails: An Empirical…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Kernel density estimation for heavy-tailed distributions using the champernowne transformation (2005)Kernel density estimation for…The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)The Modelling of Operational …Statistics of Extremes (2004)Statistics of ExtremesModelling Extremal Events (1997)Modelling Extremal EventsModelling of extremal events in insurance and finance (1994)Modelling of extremal events …Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Estimating Tails of Probability Distributions (1987)Estimating Tails of Probabili…Risk concentration based on Expectiles for extreme risks under FGM copula (2015)Risk concentration based on E…Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme Correlation of International Equity Markets (2001)Analysis of Financial Time Series (2006)The t Copula and Related Copulas (2007)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)Conditional value-at-risk for general loss distributions (2002)Brownian Motion and Stochastic Calculus (2007)Top Incomes in the Long Run of History (2011)An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)A critical review on supply chain risk – Definition, measure and modeling (2014)Empirical properties of asset returns: stylized facts and statistical issues (2001)Maximum-Likelihood Estimation (2017)Basel Committee On Banking Supervision (2010)Selecting and estimating regular vine copulae and application to financial returns (2012)Stationary max-stable fields associated to negative definite functions (2009)Statistical Modeling of Spatial Extremes (2012)Power-law distributions in empirical data (2018)Risk management with expectiles (2015)Power Laws in Economics and Finance (2009)Tail Risk and Asset Prices (2014)Regularly varying multivariate time series (2008)Extreme events: dynamics, statistics and prediction (2011)
this work references cited by second hop

References

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  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,208 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools2,012 cited
  • 2004Statistics of Extremes1,787 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 2006Extreme Value Theory : An Introduction1,564 cited
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  • 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling884 cited
  • 1987Estimating Tails of Probability Distributions627 cited
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  • 2004The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee251 cited
  • 2005Kernel density estimation for heavy-tailed distributions using the champernowne transformation140 cited
  • 2007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT125 cited

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  • 2007A Sturdy Reduced-Bias Extreme Quantile ( VaR ) Estimator124 cited
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    • 2015Risk concentration based on Expectiles for extreme risks under FGM copula28 cited