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An Application of Extreme Value Theory for Measuring Risk
16 references·4 citing·37 second hop
An Application of Extreme Value Theory for Measuring Risk (2003)An Application of Extreme Value Theory fo…Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Using a Bootstrap Method to C…Statistical Analysis of Extreme Values: with Applications to Insurance, Finance, Hydrology and Other Fields (2001)Statistical Analysis of Extre…Value-at-Risk and Extreme Returns (2000)Value-at-Risk and Extreme Ret…Value at Risk Calculations, Extreme Events, and Tail Estimation (2000)Value at Risk Calculations, E…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets (1999)The Tail Behavior of Sotck Re…Extreme value theory for risk managers (1999)Extreme value theory for risk…Exceedances over High Thresholds: A Guide to Threshold Selection (1999)Exceedances over High Thresho…A single number can't hedge against economic catastrophes (1999)A single number can't hedge a…The Distribution Of Extremal Foreign Exchange Rate Returns In Extremely Large Data Sets (1998)The Distribution Of Extremal …Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management (1998)Pitfalls and Opportunities in…Beyond the Sample: Extreme Quantile and Probability Estimation (1997)Beyond the Sample: Extreme Qu…The Asymptotic Distribution of Extreme Stock Market Returns (1996)The Asymptotic Distribution o…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …The tail index of exchange rate returns (1990)The tail index of exchange ra…Residual Life Time at Great Age (1974)Residual Life Time at Great A…Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed (2021)Justifying Mean-Variance Port…Recommendations for the tuning of rare event probability estimators (2014)Recommendations for the tunin…Measuring and Managing Operational Risk in the Financial Sector: An Integrated Framework (2005)Measuring and Managing Operat…Empirical Study of Value-at-Risk and Expected Shortfall Models With Heavy Tails (2005)Empirical Study of Value-at-R…Modelling Extremal Events (1997)An Introduction to Copulas (1999)Critical market crashes (2003)High volatility, thick tails and extreme value theory in value-at-risk estimation (2003)The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)On Some Simple Estimates of an Exponent of Regular Variation (1982)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)ARCH modeling in finance (1992)Value-at-risk versus expected shortfall: A practical perspective (2004)The Econometrics of Financial Markets (1997)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)An Overview of Value at Risk (1997)Value at Risk (2001)Market risk in commodity markets: a VaR approach (2003)Selecting copulas for risk management (2007)Can domestic tourism relieve the COVID-19 tourist industry crisis? The case of Spain (2021)Conditional logit analysis of qualitative choice behavior (1972)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Collapsing exchange-rate regimes (1984)The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)Heavy tail modeling and teletraffic data: special invited paper (1997)Coherent Measures of Risk (1999)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Measuring Market Risk (2005)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Social physics (2022)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Extreme Correlation of International Equity Markets (2001)STATISTICS OF EXTREMES: MODELING ECOLOGICAL DISTURBANCES (2005)Extreme Value Theory and Value at Risk: Application to oil market (2009)Power-law distributions in binned empirical data (2014)
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References

  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1974Residual Life Time at Great Age1,484 cited
  • 1996The Asymptotic Distribution of Extreme Stock Market Returns510 cited
  • 2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation452 cited
  • 2001Statistical Analysis of Extreme Values: with Applications to Insurance, Finance, Hydrology and Other Fields422 cited
  • 2000Value-at-Risk and Extreme Returns320 cited
  • 1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management277 cited
  • 1999Extreme value theory for risk managers268 cited
  • 1990The tail index of exchange rate returns252 cited
  • 2000Value at Risk Calculations, Extreme Events, and Tail Estimation217 cited
  • 1999Exceedances over High Thresholds: A Guide to Threshold Selection171 cited
  • 1997Beyond the Sample: Extreme Quantile and Probability Estimation74 cited
  • 1999A single number can't hedge against economic catastrophes71 cited
  • 1999The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets

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64 cited
  • 1998The Distribution Of Extremal Foreign Exchange Rate Returns In Extremely Large Data Sets51 cited
  • Cited by

    • 2021Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed42 cited
    • 2005Empirical Study of Value-at-Risk and Expected Shortfall Models With Heavy Tails29 cited
    • 2005Measuring and Managing Operational Risk in the Financial Sector: An Integrated Framework20 cited
    • 2014Recommendations for the tuning of rare event probability estimators10 cited