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Extreme Value Theory for Finance: A Survey · Study

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PreprintExtreme Value Theory for Finance: A Survey

Marco Rocco2012

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Preprintgreen2012

Extreme Value Theory for Finance: A Survey

37 citations·0/0 files stored·SSRN Electronic Journal

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Probability and Risk Models Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 1965The Behavior of Stock-Market Prices 2001An Introduction to Statistical Modeling of Extreme Values 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance

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2013EXTREME VALUE THEORY IN FINANCE: A SURVEYarticle · 59 shared references 2011Financial Economics, Fat-Tailed Distributionsother · 26 shared references 2005Empirical Study of Value-at-Risk and Expected Shortfall Models With Heavy Tailspreprint · 21 shared references 2006Empirical study of value‐at‐risk and expected shortfall models with heavy tailsarticle · 19 shared references 2008Value-at-risk and extreme value distributions for financial returnsarticle · 18 shared references 2008Extreme US stock market fluctuations in the wake of 9/11article · 16 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations37

Files0 public / 0

ShelfProbability and Risk Models

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doi10.2139/ssrn.1998740

openalex_workW2124754824

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